Product Control Quantitative Lead

• →Independently verify pricing models and the inputs used for options valuation and present results to the valuation/model validation committee.
• →Assist Middle office and commercial groups by analyzing skew data to determine appropriate sources for valuation.
• →Work with trading desk analysts, quantitative developers and risk to validate new instruments, and bespoke structures.
• →Identify unobservable inputs and assumptions, and test sensitivities to those assumptions inputs are not directly observable.
• →Work closely with software engineers to provide pricing verification system specifications.
• →Develop and maintain auditable valuation documentation and model governance artifacts (methodologies, calibration procedures, data provenance).

• Minimum 7 years of relevant experience, ideally at a Proprietary Trading Firm, Hedge Fund, Investment Bank or Trading Venue.
• Experience constructing and analyzing volatility surfaces and option skews, including interpolation/extrapolation and smoothing techniques.
• Experience managing data and building tools in Python.
• A strong understanding of control functions - Comfortable interrogating assumptions, performing sensitivity analysis, and translating model behaviors into business impact.
• Prior experience in model validation or model governance frameworks preferred.

The annual base salary range for this position is $200,000 to $250,000 depending on the candidate’s experience, qualifications, and relevant skill set. The position is also eligible for an annual discretionary bonus. In addition, DRW offers a comprehensive suite of employee benefits including group medical, pharmacy, dental and vision insurance, 401k (with discretionary employer match), short and long-term disability, life and AD&D insurance, health savings accounts, and flexible spending accounts.