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UBS
UBS
location iconLocations: Kraków
level iconLevel: specialist
Senior Quantitative Risk Modeler

Senior Quantitative Risk Modeler

Poland

Quantitative Analysis, Risk

Corporate Center

Job Reference #

197138BR

City

Kraków

Job Type

Full Time

Your role

Are you adept at risk matters and familiar with quantitative modelling? Are you interested in Statistical Risk Modeling? Do you enjoy working in a highly specialized team to develop and deliver solutions? Then we are looking for you to:
– develop methodologies to assess risks for UBS Group and different legal entities around the globe from a statistical perspective
– construct and analyse statistical loss distributions using Monte Carlo simulations of underlying risk factors
– answer methodological questions raised by regulators
– analyze diverse portfolio data and risks under various simulated scenarios and build models which are able to predict a statistical risk distribution.
– interact on a regular basis with Senior Management on enquiries related to UBS' statistical risk aggregation framework.

Your team

You’ll be working in the Statistical Risk Aggregation Methodology team in Krakow, Poland. Our role is to develop, maintain, and apply UBS’ statistical risk aggregation framework for assessing the impact of simulated risk scenarios on the firm’s profitability and capital adequacy. The framework captures all risk types across all businesses world-wide. We develop and maintain a suite of scenario-aligned risk category models

Your expertise

– a Master's or PhD degree in applied quantitative discipline (e.g. Econometrics, Statistics, Financial Engineering, Economics, Finance)
– at least 3 to 5 years of experience in quantitative (risk) modelling; experience in risk factor modelling (IR, EQ, CM, FX, etc) and scenario generation in Market Risk or Counterparty Credit Risk is a plus.
– proven knowledge of statistical and econometric methods and their applications
– general understanding and interest in (macro-)economic mechanisms and their influence on financial markets and specific risk factors
– familiarity with regulatory guidance related to Pillar 2 models and ICAAP processes as well as accounting standards is a plus
– experience in handling large datasets and knowledge about databases such as Oracle (Hadoop, KDB is a plus)
– organizational skills with the ability to work under pressure within tight deadlines
– ability to respond quickly to ad-hoc management requests
– able to respond quickly to ad-hoc management requests
– a great communicator (and you know how to handle challenging situations)
– team-orientated, while able to complete tasks independently
– an expert user of the R, knowledge of functional programming and object-oriented programming is preferred.


*LI-UBS

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.

Senior Quantitative Risk Modeler | 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."

This job is no longer available

Recruitment process for this position has ended.

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  • iconKraków, małopolskie

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