Quantitative Analyst - Market Risk / Counterparty
Job Reference #
Would you like to work in dynamic environment where your opinion and expertise is heard? Do you have an analytical mind? We are looking for someone like that to:
• work independently and validate advanced risk models including counterparty credit and market risk models
• review and challenge models used in counterparty credit and market risk management
• assess the conceptual soundness and appropriateness of different models and perform related outcome, impact and benchmark analyses
• run analyses on implementations to assess their correctness and stability
• carry out and document independent model validation in line with regulatory requirements and internal standards
• develop challenger risk models, validate and review on-going model performance
• interact and discuss with model users, developers, senior owners and governance bodies
• support US regulatory exercises such as CCAR/DFAST
You will be working in Model Risk Management & Control (US) function within the US Chief Risk Officer organization. Our role is to understand and assess the risks associated with the use of models at UBS. Within the immediate team we validate US Market and Counterparty credit risk models covering UBS's trading portfolios.
• Master or PhD degree in a quantitative discipline (e.g. Statistics, Mathematics, Physics, Engineering)
• a strong theoretical grounding in advanced probability, statistics, time series analysis and related concepts.
• strong working experience in quantitative financial methodologies (derivatives theory and models, probability theory, Mathematics, etc.) is required.
• strong communication skills and the ability to explain technical topics clearly and intuitively
• solid technical skills are required, such as model implementation in C++, Matlab, VBA, R, Python or other programming languages.
• additional expertise and experience in risk modeling such as Market risk VaR methodology and regulatory capital calculation are highly preferred.
• familiarity with Basel Regulations and/or CCAR is a plus
• Motivated, well organized, and able to complete tasks independently to high quality standards and delivering to tight timelines
• fluency in English (written and oral)
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.
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.