Front Office Product Specialist, Vice President

Front Office Product Specialist, Vice President– (job location is New York, NY; employer is Banco Santander, S.A.) - Develop and improve proprietary valuation/pricing tools, models and curve generation techniques in support of trading activities. Develop analytical tools to assess PnL and risk in real time. Implement analytics in in-house pricing and risk system tools. Perform mathematical analysis and develop bespoke scenario analyses. Develop new financial mathematical models on interest rate and inflation products. Develop a new library to price and assess risk on bond products and derivatives. Ensure models comply with US regulatory standards on documentation, ongoing monitoring and testing. Requirements: Master’s degree in Financial Mathematics, Computational Finance, or Financial Engineering, plus 4 years of experience in the position offered or a front office quantitative analyst position in an international bank or financial institution. All required experience must have included: developing valuation models for FX and fixed income complex products; building and debugging quant library for electronic platform; programming in C++, Rust, VBA and Python; supporting trading of bonds (vanilla, forward, futures, floating, inflation linked and credit linked), financial derivates and linear products, in USD, EUR, GBP and emerging markets; developing new algorithms and trading tools, new pricers used by trading systems, curve models to price financial products or assess risk, and short rate models to price interest rate product; and using and working with: linear regression analysis, Black-Scholes, Change of Numeraire method, path dependent options, Greeks computation, Libor market model, Monte Carlo methodologies, PnL explain metrics, CME fire drill methodology, middle office methodologies, and Murex tool. Salary: $225,000-$275,000/year. E-mail résumé to: Christianne.Harpster@santander.us. Reference #264 on résumé.