AsSenior 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
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