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Senior Derivatives Risk Modeling & Valuation Specialist - Stamford, CT 06905



Business
GE Capital

Business Segment
Capital - Treasury

About Us
GE Treasury team is responsible for global funding, cash & foreign exchange management, and other treasury services for all of GE's worldwide operations. Almost all of GE's debt is issued through GE Capital to support its financial services businesses. We fund ourselves through the issuance of long term debt, commercial paper, CDs & bank deposits, and other debt products as well.

Role Summary/Purpose


Essential Responsibilities
  • Develop models for a full range of financial derivatives products including complex derivatives that cannot be valued in production systems, including: - Swaps linked to structured notes - Securitization pre-payment / extension - CMBS-indexed swaps - Interest Rate Options and FX options - Equity derivatives (incl. S&P options and DIC Options) - Commodity derivatives (basis risk methods, pricing using jump diffusion modeling techniques)
  • Lead initiatives to use more sophisticated valuation techniques, risk analysis and quantitative tools to improve treasury-wide debt and derivatives pricing and valuations across asset classes (Interest rates, FX, credit spreads equities).
  • Calibrate parameters for models that require calibration (e.g., mean reversion) and validate models used for existing/ new financial derivative products
  • Create statistical models to measure market, credit and operational risk, credit spread analysis and portfolio performance.
  • Configure risk system curves and assign models
  • Integrate models into derivative and risk systems
  • Trouble-shoot valuations and market data issues

    Qualifications/Requirements
  • Masters in finance or quantitative discipline
  • 7+ years experience in investment banking, finance, financial services or related field
  • At least 5 years’ experience in derivatives pricing, hedging and risk management modeling
  • Risk management, derivatives trading, market data and quantitative research experience
  • Programming experience required
  • FRM equivalent certification or CFA and experience with front office trading and portfolio risk management systemsEligibility Requirements:
  • You MUST submit your application for employment through www.gecareers.com to be considered for this position).
  • You MUST have unrestricted authorization to work in the United States.
  • You MUST be willing to take a drug test as part of the selection process.
  • You MUST be willing to submit to a background investigation as part of the selection process.MUST BE ABLE TO SATISFY THE REQUIREMENTS OF SECTION 19 OF THE FEDERAL DEPOSIT INSURANCE ACT.

    Additional Eligibility Qualifications
    GE will only employ those who are legally authorized to work. Any offer of employment is conditioned upon the successful completion of a background investigation and drug screen.

    Desired Characteristics
  • Strong working knowledge of quantitative and statistical packages (RiskMetrics, FinCad, NumeriX, Mathematica, SAS/S and market-based applications (KMV, Bloomberg, Reuters)
  • Proficient with risk management techniques, such as: VaR, PFE, sensitivity analysis, stress testing
  • Well versed in options theory and derivatives valuation techniques
  • Strong understanding of market dynamics and their effect on risk exposures
  • Ability to multitask in a highly matrixed organization


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    We offer a competitive salary, outstanding benefits package and the professional advantages of an environment that supports your development and recognizes your achievements. We are an Equal Opportunity Employer

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    Careers at GE
     With 300,000 people working across more than 100 countries, the GE team is global, diverse and passionate about taking on the world's toughest challenges. In aviation, healthcare, finance, entertainment, energy and more, GE offers thousands of opportunities every day to build a valuable and rewarding career.
    GE Careers
    • LOCATION:
      Stamford, CT 06905
    • SALARY/WAGE:
      Commensurate with Experience
    • JOB STATUS/TYPE:
      Full Time
      Employee
    • JOB CATEGORY:
      Accounting/Finance/Insurance
    • OCCUPATIONS:
      Corporate Finance
      Financial Analysis/Research/Reporting
      Risk Management/Compliance
    • INDUSTRY:
      Banking
    • CAREER LEVEL:
      Experienced (Non-Manager)
    GE Careers
    • REFERENCE CODE:
      1108616

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