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Quant Analyst - Data Validation in New York, NY at Vaco

Date Posted: 4/26/2018

Job Snapshot

  • Employee Type:
  • Location:
    New York, NY
  • Job Type:
  • Experience:
    At least 3 year(s)
  • Date Posted:
  • Job ID:

Job Description

Vaco is seeking a strong quantitative finance and risk management professional to support our clients business growth in areas including: derivatives pricing and margining, market and credit risk modelling, XVA computation, regulatory compliance and front office change for investment banking, insurance, asset management and commodities clients.

This is a demanding and rewarding environment. Working for a smaller company means that employees can gain a wide variety of experience and there are no artificial restrictions to the possibilities of their career progression.

The role is for practical financial engineers who are keen to contribute to mission-critical deliverables for typically, systemically important financial institutions.

Applicants should be interested in working within an innovative and entrepreneurial environment, where they will be involved in all aspects of the company from pre-sales to lead project roles.

Within these roles, they will work with our clients to create solutions by making use of the company's expertise in financial engineering, software engineering and business process engineering.


We typically consider candidates with seven-plus years of financial modelling and related quantitative experience. Preference will be given to candidates with prior institutional experience from banks, broker-dealers and/or investment management firms.

Skills and qualities

Required qualifications and duties:

  • Masters level (PhD preferred) in mathematics, quantitative finance or scientific/engineering discipline.
  • Practical working knowledge in derivative products and markets, with expertise in one of the following: Rates, FX, Structured Finance, Credit, Equities and/or Commodities.
  • Strong knowledge of derivative pricing models and mathematics, including Stochastic Calculus, Numerical Methods and Linear Algebra.
  • Prior experience in model validation for an investment bank. Must be comfortable leading project engagements and articulating complex quantitative issues with clients.
  • Collaborate with senior quants and firm wide leadership. Provide direction and mentorship to junior quants.

Desired qualifications:

  • Knowledgeable in post-crisis best practices including but not limited to XVA, multi-curve construction, and/or pricing with collateral.
  • Consultative skills and the ability to form and present clear and concise arguments, as well as produce professional business documentation.
  • Self-starter and keen to work in hybrid teams, such as quantitative, business and technology.
  • Motivated to be involved in pre-sales and broader project / growth / SME activities.
  • Some experience coding models in languages, such as Matlab, R, Python, or C++.