Stress Testing Specialist
Quantitative Analysis, Risk
Job Reference #
Are you experienced in counterparty risk management? Are you an innovative thinker who likes to challenge the status quo?
We’re looking for someone like to:
– document credit risk exposure models used for risk management, setting capital requirements, stress testing and expected loss calculations
– analyze and document model performance and confirmation tests
– develop and maintain the models
– check that material issues are escalated to the relevant control functions and that reputation concerns are escalated to senior management
You’ll be working in the Exposure Risk Measurement team within the Credit Risk Methodology department in Krakow.
We develop and maintain the credit exposure measurement capabilities of the Investment Banking division within the UBS Group. The quantitative methods we use are closely related to sophisticated derivative pricing models.
You will have the opportunity to coordinate and become the main global contact for the improvement of methodologies, processes and parameterization of our credit exposure measures for the banking and trading book (covering credit facilities, derivatives and securities financing transactions). As a client of the Front Office exposure calculation engines, you will also be responsible for ensuring the Risk Control requirements for capturing risk are delivered correctly. Last but not least, as owners of the Risk Exposure models, we also need to ensure the calculations meet the required regulatory standards.
– University degree (Msc or PhD) in finance, mathematics, science or in a numerical discipline
– Prior working experience (ideally 1+ years) in the financial services industry
– Working experience with high-level programming language (C#,C++), and knowledge of statistical modeling software (e.g. Rstudio, SQL) is desirable
– Excellent communication skills with colleagues at all levels in the organization
– Skilled giving and receiving constructive feedback able to explain technical topics clearly and intuitively to a non-technical audience
– Fluent in English, both in oral and written form
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?
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.