Derivatives Quantitative Analyst

Your role

Does complex modeling excite you? Are you an innovative thinker and enjoy building tools? We’re looking for someone who can:
• design, develop (and document) risk models, pricers for vanilla and exotic derivatives
• participate in projects with a view of taking the business logic into Quant library
• back test hedging strategies across different market regimes
• develop library for the bank pricing and booking systems
• develop, generate and validate regular analytic reports for the trading desks or the regulatory purpose
• work closely with derivatives trading, sales, structuring and quant teams to deliver global projects
• engage and understand the desk's balance sheet resource usage and risk requirements/controls
• provide tools for explaining profit & loss, risk (VaR), and credit exposure
• understand and support multi-asset class hybrids structures, strategies business including risk premia, fund financing, and fund derivatives

Join us

At UBS, we know that it's our people, with their diverse skills, experiences and backgrounds, who drive our ongoing success. We’re dedicated to our craft and passionate about putting our people first, with new challenges, a supportive team, opportunities to grow and flexible working options when possible. Our inclusive culture brings out the best in our employees, wherever they are on their career journey. And we use artificial intelligence (AI) to work smarter and more efficiently. We also recognize that great work is never done alone. That’s why collaboration is at the heart of everything we do. Because together, we’re more than ourselves.
We’re committed to disability inclusion and if you need reasonable accommodation/adjustments throughout our recruitment process, you can always contact us.

Your team

You’ll be working in the Global Market Equity Quantitative Analytics team in Shanghai. Our role is to provide routine and consultancy for pricing, risk management and life cycle for all equities and equity derivatives. Our team is responsible for building top grade, high performance quantitative numeric used for valuation of large and complex equity derivatives book.

Your expertise

• preferably a doctorate/master’s degree in physics, mathematics, computer science, engineering
• good understanding of stochastic calculus
• experience implementing mathematical models in front office systems and supporting the derivatives desk in risk assessment and product pricing
• experience working with MonteCarlo / PDE (Partial Diff Equations) numeric.
• good understanding of market dynamics and ability to explain/visualize/simulate market data
• conversant with numerical techniques for derivatives pricing
• proficient using C++ with standard tools (Standard Template Library, Boost)
• capable of documenting any model development in a clear way
• ability to understand EQ-Rates, EQ-FX hybrid modeling, complex strategy products and funding structures to support their risk management and life cycling
• keen learner, keeps abreast of various market trends in derivatives pricing
• Fluent in both written and spoken English

About us

UBS is a leading and truly global wealth manager and the leading universal bank in Switzerland. We also provide diversified asset management solutions and focused investment banking capabilities. Headquartered in Zurich, Switzerland, UBS is present in more than 50 markets around the globe.
We know that great work is never done alone. That’s why we place collaboration at the heart of everything we do. Because together, we’re more than ourselves. Want to find out more? Visit ubs.com/careers.