Quantitative Risk Specialist – PPNR Validation

Poland

Risk

Corporate Center

Job Reference #

206327BR

City

Kraków

Job Type

Full Time

Your role

Are you an expert in analytics? Are you an innovative thinker who likes to challenge the status quo? Do you know how to work well within a team and deliver effective solutions? We're looking for someone like that to carry out independent validation of models used in the UBS group PPNR area, by
– assessing the model's conceptual soundness and methodology
– checking appropriateness of input data, model assumptions and parameters, calibration accuracy as well as of qualitative or expert adjustments, etc.
– reviewing outcome, impact, performing benchmark and robustness analyses
– identifying model limitations and evaluating overall model risk
– documenting the assessment to required standards
– interacting and collaborating with stakeholders such as model developers, users, model governance representatives in order to safeguard the quality of our model risk management framework

Your team

You will be working in Model Risk Management & Control (US) function within the US Chief Risk Officer organization, responsible for the independent validation of the CCAR PPNR models used in UBS at group level. The models are used for stress testing.

Your expertise
– a MSc degree in quantitative Finance, Mathematics, Physics, Statistics, or quantitative Economics; PhD is a plus
– 3+ working experiences in model validation or model development, preferably in a bank
– knowledge of financial markets and products, strong interest in the financial services industry, preferably in risk management. Prior experience with PPNR models is a plus
– knowledge of investment banking, wealth management is a plus
– knowledge and experiences in statistical and economic modeling techniques, i.e. regression, logistic regression, time series, error correction model etc.
– strong coding skills in excel, SAS, R, Python, MATLAB or similar
– excellent analytical skills
– curiosity and a thirst for innovation
– fluent in English, oral and written
– a team player with strong interpersonal skills
– motivated, well organized and able to complete tasks independently to high quality standards

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.

Contact Details

UBS Recruiting Poland

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.