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Your team You'll be working in the Valuation Methodologies team focusing on FX derivatives. As part of Group Risk Control, the main objective of the team is to control the model vs market basis risk, including testing the valuation models' calibration to the market and its pricing of the exotic products, as well as the ongoing development of associated valuation methodologies
Your expertise - sufficient relevant working experience in a similar quantitative role - MSc or PhD in a quantitative discipline - good knowledge of mathematical finance and its practical use for derivative pricing - experience in testing the model calibration to the market, and development of the associated control methodologies for IPV, reserving and prudential valuation - proficiency in using Python or C++ is preferred - excellent written and interpersonal communication skills (methodical, concise and accurate) - motivated to drive strategical initiatives, while keeping a strong attention to details - able to apply technical understanding to practical problems - willing to collaborate and share knowledge with your team
About us Expert advice. Wealth management. Investment banking. Asset management. Retail banking in Switzerland. And all the support functions. That's what we do. And we do it for private and institutional clients as well as corporations around the world.
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