VP, Cross Asset Structurer
M&IB US - Stamford, CT

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Duties

RBS Securities Inc. (RBSSI) seeks a VP, Cross Asset Structurer for its Stamford, CT location.

Duties: Utilize statistical and quantitative methods, including simulation, optimization, and options pricing to generate alpha for Asset Managers in a multi-asset framework and work with Portfolio Managers to identify opportunistic trading strategies outside their asset classes. Structure and price exotic and cross-asset derivatives related to insurance, interest rates, inflation, equity, volatility, FX, commodities, credit, and hybrids/correlation relationships to support U.S. and LatAm Trading and Sales departments. Perform quantitative analysis of portfolio risk, portfolio immunization, and hedging optimization using Market and Credit risk metrics. Perform related cost/hedging benefit/liquidity analysis to design most effective cross-asset hedging strategies for clients in the insurance industry. Identify the best execution strategy by backtesting various strategies and evaluating results relative to vanilla benchmarks. Conduct pricing and sensitivity analysis of asset-backed securities for the RBS Life Insurance legacy portfolio. Simulate and price exotic path-dependent and hybrid instruments using VBA and Matlab, and create sensibility analysis. Present vanilla and complex hedging strategies to broad audience using PowerPoint and Excel models.

Requirements

Master’s degree in Engineering, Financial Engineering, Finance, or related quantitative field, and five (5) years of experience in the position offered or related position. Will also accept Ph.D. in Engineering, Financial Engineering, Finance, or related quantitative field, and two (2) years of experience in the position offered or related position. Full term of required experience must include utilizing statistical and quantitative methods, including simulation, optimization, and options pricing, to price and structure cross-asset and insurance derivatives in FX, interest rates, equities, commodities, credit, and inflation markets; writing VBA and Matlab code to simulate and price exotic and hybrid instruments; applying Market and Credit risk metrics; working with the Latin American financial and derivatives market; and presenting vanilla and complex hedging strategies to clients and investors using PowerPoint and Excel models..

Qualified applicants submit resumes referencing job code 00078221 to Ms. Pamela Mitchell, RBS Securities Inc., 600 Washington Blvd, Stamford, CT 06901. Direct applicants only.

Salary is $175,000; 40 hrs./wk. This position is eligible for incentives pursuant to the RBS Employee Referral Program.

"It is the policy of The Royal Bank of Scotland, PLC to provide equal employment and advancement opportunities to all colleagues and applicants for employment without regard to race, color, religion, sex, age, national origin, sexual orientation, gender identity or expression, disability, genetic information, pregnancy, veteran or military status, marital or domestic partner status, or any other factor protected by federal, state, and/or local laws."

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