Vice President

Vice President

BNP Paribas Securities Corp.

Location: 787 Seventh Avenue, New York, NY 10019

Duties: Learn and implement new pricing models for credit products from studying internal models or external resources, with a focus on the products traded in the Americas. Participate in the development, testing, validation, and release effort for credit products, adhering to best practice around code development and release. Collaborate with other Quant Research teams locally and globally, to ensure optimal development and foster synergies across location and asset classes. Support the desks on issues related to booking, pricing, and hedging, and provide timely solutions to issues arising with the pricing or the hedging of the trade. Report progress and concerns to management. Telecommuting permitted 40%: work may be performed within normal commuting distance from the BNP Paribas Securities Corp office in New York, NY.

Salary: $165,000.00 to $220,000.00 / year.

Work Schedule: 9am to 5pm, 40 hours a week. (Monday – Friday)

Job Requirements: Master's degree (US or Foreign Equivalent) in Financial Engineering, Computational Finance, or related field and two (2) years of experience in job offered or related role OR Bachelor's degree (US or Foreign Equivalent) in Financial Engineering, Computational Finance, or related field and four (4) years of experience in job offered or related role. Must have two (2) years of experience with: Quantitative model research, calibration, and validation for credit products (securities, derivatives, securitized products, and exotic products); Producing production-ready and object-oriented polymorphic code with respect to modeling, pricing, validation, analytical tools, data processing, and automating processes, using Python and C++ in a front-office financial services environment; Applying knowledge of mathematics, including stochastic calculus, statistics, probability, and linear algebra, in the context of modeling the credit risk factor with a hazard rate model; Applying knowledge of finance, including fixed income security, risk neutral pricing, and derivative pricing, in the context of modeling products with a credit risk; Experience with credit products (securities, derivatives, securitized products, and exotic products) in terms of their valuation as well as understanding and modeling their risk factors, including the credit risk factor; and Collaborating with the business to onboard and implement in Python and C++ the quantitative modeling of: new credit products or new features for existing credit products, and new pricing and marking tools or new features for existing pricing and marking tools for credit products.

BNP Paribas is committed to providing a work environment that fosters diversity, inclusion, and equal employment opportunity without regard to race, color, gender, age, creed, sex, religion, national origin, disability (physical or mental), marital status, citizenship, ancestry, sexual orientation, gender identity and gender expression, or any other legally protected status.