Economic and Credit Risk Modelling Specialist
Job Reference #
Are you interested in quantitative risk modelling and knowledgeable of statistical, mathematical and econometrical models used in the financial industry? Are you an innovative thinker who likes to challenge the status quo and apply new analytical techniques to solve quantitative problems?
We’re looking for an economic and credit risk modelling specialist to:
• Bring innovation in the development of macro-economic forecasting models in line with international regulatory and accounting requirements
• Perform and document model performance and confirmation analysis
• Support ongoing regulatory initiatives to manage our risk e.g. IFRS9, Basel IV, Climate Risk impacts on Credit Risk
• Communicate technical information to Senior Management, Client Advisors, Risk Officers and Subject Matter Experts.
You will be working in Credit Risk Methodology in Kraków, Poland which is part of the group-wide Risk Methodology department. We develop, refine, implement and maintain mathematical, statistical and stress testing models to measure credit risk of the UBS Private & Corporate, Wealth Management International and Investment Bank portfolios for regulatory and business steering purposes. We interact with a number of departments across the bank including Front Office, Finance, IT, Credit Risk management, Business pricing / steering on a regular basis. For the development of our methodologies we use techniques from quantitative risk management, financial mathematics and econometrics. Models are implemented mainly in R and / or SAS, before being embedded in the productive risk infrastructure.
• Master's or PhD degree in a quantitative discipline (e.g. Financial Engineering, Economics, Finance, Econometrics, Mathematics, Statistics)
• Must have demonstrable experience of coding in SAS, R and/or Python. Familiarity with SQL for basic querying of databases and dataset merging is a plus
• Experience with large data sets / big data is a plus
• Prior work experience in risk, finance or treasury environment is beneficial
• Fluent in English, both verbal and written form
UBS is the world’s largest and only truly global wealth manager. We operate through four business divisions: Global Wealth Management, Personal & Corporate Banking, Asset Management and the Investment Bank. Our global reach and the breadth of our expertise set us apart from our competitors.
With more than 70,000 employees, we have a presence in all major financial centers in more than 50 countries. Do you want to be one of us?
From gaining new experiences in different roles to acquiring fresh knowledge and skills, at UBS we know that great work is never done alone. We know that it's our people, with their unique backgrounds, skills, experience levels and interests, who drive our ongoing success. Together we’re more than ourselves.
Ready to be part of #teamUBS and make an impact?
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.