Quantitative Risk Modeler
Job Reference #
Are you an expert in quantitative modelling? Are you an innovative thinker who likes to challenge the status quo? Are you an engaged and motivated personality who likes to understand the big picture? Do you enjoy working in a highly specialized team to develop and deliver solutions? Then we are looking for someone like that to develop risk models for statistical risk aggregation purposes, including:
– gain profound understanding of the business reality which is to be represented in a model
– compile relevant information needed to develop or adapt a model
– discuss model requirements and assumptions with stakeholders
– test different possible model specifications and calibrations
– diligently document the development process
– prepare presentations to senior management and regulators
– perform and document model performance and confirmation tests
We develop, refine, implement, and maintain mathematical and statistical models to measure all material risks across UBS to assess our capital requirements, comprising models for individual risk types (including market, credit, issuer, investment, funding, operational, pension, business risk etc.), as well as methodologies to aggregate risks. For the development of our methodologies, we use techniques from quantitative risk management, financial mathematics and econometrics. Models are implemented mainly in R, before being embedded into the productive risk infrastructure.
– a Master's or PhD degree in a quantitative discipline (e.g. Mathematics, Statistics, Econometrics, Financial Engineering, Economics, Finance)
– good understanding of different banking business activities, including profound knowledge of products and services in at least one business area
– sound knowledge of statistical and econometric methods and their application
– outstanding conceptual and analytical capabilities combined with very good interpersonal and communication skills
– excellent coding skills, preferably in R
– familiarity with regulatory guidance related to Pillar 2 models or bank ICAAP processes is a plus
– familiarity with accounting standards or treasury models is a plus
– experienced in risk methodology
– fluent in English
– experienced in writing documentation of complex methodologies
– able to deliver high quality results in a fast pace environment with tight deadlines
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.