Senior Derivatives Quantitative Analyst

• Basel, CH
• Full-time
• Unlimited

Your Role

As Senior Derivatives Quantitative Analyst at Bank J. Safra Sarasin you are an experienced developer of pricing/risk management models for derivatives (EQ/FX/IR/Credit) and provide validation of 3rd party pricing libraries and participation in development of in-house pricing algorithms for integration into our grid computing pricing architecture system.

Your Responsibilities

• Maintain, develop and implement pricing library models
• Provide prototype solutions and work through implementations
• Review and improve current models of pricing, hedging and risk figure representation
• Build test cases to empower regression tests
• Identify potential issues, risks and room for optimization
• Do background research

Your Profile

• University degree in a highly quantitative field (Mathematics, Statistics, Physics, or Computer Science), or completed apprenticeship or similar banking education
• 3 years of practical experience in the field of quantitative analysis in a Bank
• Proficiency in Python and C++. (VBA/.Net is an advantage) combined with deep expertise in numerical analysis and probability calculation
• Familiarity with Front Arena Prime is advantageous; experience with Bloomberg, Reuters, or other real-time Trading/Risk Management systems is highly valued
• A test-driven approach with a strong affinity to understand and solve complex quantitative problems, backed by exceptional analytical and problem-solving capabilities
• Excellent communication and presentation skills with a hands-on mentality, capable of working independently and collaborating effectively with diverse stakeholders
• Fluent in English; German and/or French is a plus

Your Benefits

• Entrepreneurial spirit in a family owned bank
• Central city office locations across Switzerland
• Above average insurance coverage fully borne by the bank
• Contribution to health insurance and meal allowance
• Global growth strategy and stable environment
• Competitive offering