Quantitative Risk Modeler

Poland

Risk

Group Functions

Job Reference #

240670BR

City

Kraków

Job Type

Full Time

Your role

Are you adept at risk matters and familiar with quantitative modelling? Are you interested in Risk Modeling? Do you enjoy working in a highly specialized team to develop and deliver solutions? Then we are looking for you to:
– gain profound understanding of the business reality, which is to be represented in a model
– develop methodologies to assess risks for UBS Group and different legal entities around the globe from a statistical perspective
– analyze diverse portfolio data and risks, and build statistical models
– construct and analyze statistical loss distributions of underlying macro-financial risk drivers
– discuss model requirements and assumptions with stakeholders within the Bank
– test different possible model specifications and perform calibrations
– support implementation of regulatory initiatives

Your team

You’ll be working in the Statistical Risk Aggregation Methodology team in Krakow, Poland. Our role is to develop, maintain, and apply UBS’ statistical risk aggregation framework to assess the impact of simulated stress scenarios on the firm’s profitability and capital adequacy. The framework captures risk types across all businesses world-wide, a.o. Credit Risk, Market Risk and Business Risk. These risks are reflected in statistical models that perform forecasts given a suite of scenarios.

Your expertise

– a Master's degree in a quantitative discipline (e.g. Economics, Econometrics, Finance, Financial Engineering, Mathematics, Physics, Statistics)
– sound knowledge of statistical and econometric methods and their applications
– general understanding and interest in banking and financial markets
– experience in quantitative (risk) modelling
– experience in handling large datasets
– organizational skills with the ability to deliver results within tight deadlines
– a strong communicator (and you know how to handle challenging situations)
– team-orientated, while able to complete tasks independently
– an expert user of R and/or Python, knowledge of functional programming and object-oriented programming is preferred
– fluent in English

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.

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.