Derivative Pricing & Valuation - Quant Analyst

Location:

For Those Who Work At Home - Various, Ohio 44145

Qualified candidate MUST be able to work 10:00am - 7:00pm EST.

** About the Department:**

Derivative Operations is responsible for the processing, settlement, pricing, and reporting of KeyBank and KeyCorp derivative transactions executed by multiple lines of business. The Department supports a wide variety of post trade functions and products that are complex in nature.

About the Job:

This position is focused on the pricing and valuation of Interest Rate and Commodity (Energy and Metals) Derivatives, as well as Futures. The person in this role will be viewed as a deep subject matter expert with a highly specialized skill set including the use of curves that consider future cash flows, present value of future cash flows, as well as a valuation model. The position requires a highly technical/ quantitative analyst with Cross Product Experience in Swaps, Options, and Structured Products.

** Essential Job Functions:**

• Primary support of the daily pricing/valuation function that includes:
  • Pulling pricing from Bloomberg, IHS Markit, and other ancillary pricing sources according to a prescribed schedule
  • Uploading or manually entering prices to the existing curves and volatility surfaces in back-office system accurately
  • Ensuring all prices are current
  • Rolling curves correctly and timely
• Develop analytics to help proactively validate the pricing each day before EOD starts to prevent downstream issues
• Work with Market Risk and Trading Desk heads to develop and maintain effective partnerships, and provide requested information and reporting as needed
• Independently research, resolve and take the appropriate corrective action on curve/ valuation discrepancies
• High performance of the above functions to mitigate the following risks:
  • Negative impact to clients, bank counterparties and clearinghouses due to incorrect valuations
  • Market Risk management of derivative portfolios due to incorrect rates and prices used in VaR (Value-at-Risk) simulations
  • Counterparty Credit Risk because valuations used for CVA (Credit Valuation Adjustment) are incorrect
  • Financial Risk related to incorrect DX portfolio Exposures, P&L and Margin levels
• Assist in project to convert back-office system to a new platform
• Train others on team to ensure there is adequate backup

** Required Qualifications:**

• Degree in finance, mathematics, statistics or another quantitative field
• Advanced knowledge of finance including valuation methodologies, capital markets, financial instrument modeling, Value at Risk and Counterparty Credit Risk
• Strong analytical and quantitative skills
• Exceptional verbal and written communication skills
• Advanced experience in Excel
• Advanced knowledge of Bloomberg
• Ability to perform multiple tasks simultaneously to meet strict deadlines
• Ability to work independently and in a team environment in collaboration with other team members and external consulting firms

Key has implemented a role-based Mobile by Design approach to our employee workspaces, dedicating space to those whose roles require specific workspaces, while providing flexible options for roles which are less dependent on assigned workspaces and can be performed effectively in a mobile environment. As a result, this role may be mobile or home based, which means you may work either at a home office or in a Key facility to perform your job duties.

COMPENSATION AND BENEFITS

This position is eligible to earn a base salary in the range of $70,000 to $95,000 annually depending on job-related factors such as level of experience. Compensation for this role also includes eligibility for short-term incentive compensation and deferred incentive compensation subject to individual and company performance. Please click here for a list of benefits for which this position is eligible.

Please click here for a list of benefits for which this position is eligible.

Key has implemented a role-based Mobile by Design approach to our employee workspaces, dedicating space to those whose roles require specific workspaces, while providing flexible options for roles which are less dependent on assigned workspaces and can be performed effectively in a mobile environment. As a result, this role may be Mobile or Home-based, which means you may work primarily either at a home office or in a Key facility to perform your job duties.

KeyCorp is an Equal Opportunity and Affirmative Action Employer committed to building a diverse, equitable and inclusive culture. All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, veteran status or other protected category.

Qualified individuals with disabilities or disabled veterans who are unable or limited in their ability to apply on this site may request reasonable accommodations by emailing HR_Compliance@keybank.com.

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