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Senior Derivatives Quantitative Analyst - Equity, FX, IR and Credit Derivatives (Ref. 1341)

Bank J. Safra Sarasin AG
Basel

4S

Senior Derivatives Quantitative Analyst - Equity, FX, IR and Credit Derivatives (Ref. 1341)


Senior Derivatives Quantitative Analyst - Equity, FX, IR and Credit Derivatives (Ref. 1341)

Bank J. Safra Sarasin Ltd is a leading sustainable private bank, offering all the advantages of the Swiss banking environment together with dynamic and personalised advisory services focusing on opportunities in international financial markets. The Bank provides a high level of services and expertise when acting as investment advisor and asset manager for private and institutional clients. Financial strength, excellent client services and outstanding quality are therefore key elements of its corporate philosophy.

J. Safra Sarasin's most valuable capital is its employees. They are essential to the success of the organisation, now and in the future. Their technical expertise, professional qualifications and social skills are highly valued by the Group's clients, management and business partners. The success of J. Safra Sarasin depends on the enthusiasm and commitment of every one of its employees worldwide.

Division

Chief Operating Officer

Function/Position

Senior Derivatives Quantitative Analyst - Equity, FX, IR and Credit Derivatives (Ref. 1341)

Location

Basel, CH

Function/Position objectives

Development and validation of pricing models and risk management models for derivatives (Equity/FX/IR/Credit) and structured products. The job includes validating 3rd party pricing libraries as well as developing in-house pricing algorithms for integration into our grid computing pricing architecture system servicing trading desks and risk office.

Responsibilities

  • Pricing library model maintenance, development, and implementation.
  • Provide prototype solutions and work through implementations.
  • Review and improvement of current models. Build test cases to empower regression tests.
  • Liaise with front office and risk teams to ensure quality and efficiency for measurements.
  • Work in team: Partner with front office IT for integration into market making and position management in real time systems.
  • Constant care of identifying and monitoring potential issues, risks or optimizations.
  • Background research activity. Bring new ideas for continuous enhancement of current solutions.
  • Ph.D or Msc in a highly quantitative field such as Mathematics, Statistics, Physics, or Computer Science.
  • Previous work experience as a quantitative analyst is mandatory.
  • Deep knowledge of numerical analysis and probability calculation. Having a test driven approach and strong affinity to understand and solve complex quantitative problems.
  • Able to work independently and coherently within a team. Highly motivated with strong attention to details. Good communication and ability to explain complex models.
  • Strong skills in both Python and C++. VBA/.Net is a plus.
  • Pragmatic approach and solution-oriented mind for concrete use of models on trading desks.
  • Knowledge of Front Arena Prime application is an advantage. Knowledge in the following applications is also of interest: Bloomberg, Reuters and other real time Trading or Risk Management systems.

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