Quantitative Risk Analyst

Poland

Risk

Group Functions

Job Reference #

235187BR

City

Kraków

Job Type

Full Time

Your role

Would you like to work in dynamic environment where your opinion and expertise is heard? Do you have analytical mind? We are looking for someone like that to:
• review and assess the appropriateness of derivatives pricing models and valuation methodologies, especially for the various interest rates and money market models/products, Group Treasury products.
• review, develop and execute parameter estimation and calibration routines, and provide technical assistance to other teams in valuation areas.
• support the development of the valuations library.
• work closely with front office trading and model developers, market risk control and valuation control

Your team

You’ll be working in the Valuation Methodologies team and Model Validation team focusing on Firm-wide methodologies and money market model validation. As part of Group Risk Control, the main objective of the team is to control the front-to-back model risk, including testing the theoretical implementation of the valuation model as well as valuation models' calibration to the market and its pricing of the exotic products, and development of the associated valuation methodologies.

Your expertise

• good knowledge of the Interest rate benchmark and development around new RFRs
• working knowledge of IR derivatives (single/multi CCY linear, collaterals modelling)
• good understanding of the front-to-back trading/risk management platform is preferred
• good knowledge of the mathematical finance and its practical use for derivative pricing
• MSc in a quantitative discipline, with PhD in numerical disciplines as preference
• It is desirable to have experience in testing the model calibration to the market, and development of control methodologies for IPV, reserving and prudential valuation
• preferably proficiency in using Python, C#, C++
• excellent written and interpersonal communication skills
• a good balance between theoretical knowledge and practical
• motivated to drive strategical initiatives, while keeping a strong attention to details
• able to apply technical understanding to practical problems
• willing to collaborate and share knowledge with your team

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.