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UBS
UBS
location iconLocations: Kraków
level iconLevel: specialist
Quantitative Risk Specialist (Risk Methodology)

Quantitative Risk Specialist (Risk Methodology)

Poland

Risk

Corporate Center

Job Reference #

203080BR

City

Kraków

Job Type

Full Time

Your role

Does quantitative modelling excite you? Are you an innovative thinker and interested in risk topics?
Do you know how to work well within a team to develop and deliver high quality solutions?

Then we are looking for you to:

• Maintain and assess methodologies for quantitative modelling of the probability of default (PD) and loss-given-default (LGD) as well as lending value models for our Lombard portfolio for UBS Group
• Use techniques from quantitative risk management, financial mathematics and econometrics to ensure the efficient model risk monitoring for our existing risk models.
• Bring innovation to the Risk Methodology Group in the development, refinement and implementation of risk models
• Test and develop prototype models in R, Python or SAS, before being embedded into the productive risk infrastructure
• Collaborate with risk officers, business managers, Risk IT, Change Operations and other stakeholders supporting the proper implementation and execution of risk models and support regulatory exercises

Your team

You’ll be working in the PD & LGD Lombard team within Credit Methodology in Krakow, Poland.
Your main responsibilities will be to maintain UBS’s Advanced Internal Rating Based models and lending value models covering our Lombard business. The framework captures all Lombard businesses world-wide ranging from retail clients to complex structured lending solutions for UHNW clients. You will be working with key stakeholders within our Global Wealth Management business on both the risk and the business side to deliver state of the art methodologies and support new business initiatives.

Your expertise

• A Master's degree in an applied quantitative discipline (e.g. Econometrics, Statistics, Financial Engineering, Economics, Finance)
• Some experience in credit risk modelling or other areas of risk methodology and/or model development
• Sound knowledge of statistical and econometric methods and their application
• Strong IT / programming skills. Previous experience and ability to implement models in a programming language (e.g., R, Python) is essential and experience with handling large datasets is a plus
• Strong analytical, conceptual and organizational skills with the ability to work under tight deadlines
• Interest in placing model maintenance and model risk management activities within the bigger picture of the organisation
• Ability to influence and convince key stakeholders within the model confirmation / re-validation process

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.

We are about 60,000 employees in all major financial centers, in more than 50 countries. Do you want to be one of us?

Join us

We're a truly global, collaborative and friendly group of people. Having a diverse, inclusive and respectful workplace is important to us. And we support your career development, internal mobility and work-life balance. If this sounds interesting, apply now.

Disclaimer / Policy Statements

UBS is an Equal Opportunity Employer. We respect and seek to empower each individual and support the diverse cultures, perspectives, skills and experiences within our workforce.

Quantitative Risk Specialist (Risk Methodology) | UBS

Please submit your application in English

You are kindly requested to include the following clause in your application: "Wyrażam zgodę na przetwarzanie moich danych osobowych zawartych w ofercie pracy dla potrzeb procesu rekrutacji zgodnie z ustawą z dnia 27.08.1997r. Dz. U. z 2002 r., Nr 101, poz. 923 ze zm."

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