Economic and Credit Risk Modelling Specialist
Job Reference #
Are you interested in quantitative risk modelling and knowledgeable of statistical, mathematical and econometrical models used in the financial industry? Are you an innovative thinker who likes to challenge the status quo and apply new analytical techniques to solve quantitative problems?
We’re looking for an economic and credit risk modelling specialist to:
• Bring innovation in the development of macro-economic forecasting models in line with international regulatory and accounting requirements
• Perform and document model performance and confirmation analysis
• Support ongoing regulatory initiatives to manage our risk e.g. CECL, IFRS9, Basel IV
• Communicate technical information to Senior Management, Client Advisors, Risk Officers and Subject Matter Experts.
You will be working in Credit Risk Methodology in Krakow which is part of the group-wide Risk Methodology department. We develop, refine, implement and maintain mathematical, statistical and stress testing models to measure credit risk of the UBS Private & Corporate, Wealth Management International and Investment Bank portfolios for regulatory and business steering purposes. We interact with a number of departments across the bank including Front Office, Finance, IT, Credit Risk management, Business pricing / steering on a regular basis. For the development of our methodologies we use techniques from quantitative risk management, financial mathematics and econometrics. Models are implemented mainly in R and / or SAS, before being embedded in the productive risk infrastructure.
• Master's or PhD degree in a quantitative discipline (e.g. Financial Engineering, Economics, Finance, Econometrics, Mathematics, Statistics)
• Demonstrable experience of coding (e.g. SAS, R, Python)
• Experience with large data sets / big data is a plus
• Prior work experience in risk, finance or treasury environment is beneficial
• Fluent in English, both verbal 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.