Your role
Are you a shrewd evaluator of risk? Are you incredibly organized with an eye for detail?We’re looking for someone like that who can:
- review the model's conceptual soundness and mathematics
- check appropriateness of modelling assumptions, parameters, calibrations, etc.
- develop benchmark models (typically according to best industry or academic practices)
- assess model risk associated with uncertainty around modelling or specific modelling shortcomings
- document the findings
- liaise with the model owners and other stakeholders to mitigate any model risk identified during the assessment
Your team
You’ll be working in the Model Risk Management and Control (MRMC) team in Zabierzów (Kraków Business Park). Your role has global impact and assumes working closely with model owners (front-office quants, risk methodology etc.) as well as other stakeholders over the whole model lifecycle, including traders, market and credit risk officers, finance etc. offering an opportunity to play a key role in the enhancement of risk management framework in a global bank. You will perform model validation for counterparty credit exposure models, to detect, identify, and quantify risks in the are of valuation and risk management of model intensive products.
Your experience and skills
You have:
- master's degree in a quantitative field (Mathematics / Physics / Financial Engineering/Statistics) is a prerequisite, PhD is desirable
- at least 2 years of experience in a role related to model development or validation within the area of counterparty credit risk modelling
- excellent command of MS Office and VBA familiarity with LaTeX
- excellent communication skills (you know how to explain technical topics to a non-technical audience)
- fluency in English
You are:
- organized, detail-oriented, self-motivated and respond well under pressure
- able to work in a team spread across several locations, adhere to tight deadlines, develop and maintain relationships
- proficient using programing in R or Matlab, Knowledge of C++ , C#, Java or similar would be an asset
- familiar with regulatory requirements in financial industry, especially in the area of counterparty credit risk. Previous experience in interacting with and presenting to regulators (FINMA, PRA, FED) is a plus
*LI-UBS
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 almost 900 offices and more than 50 countries. Do you want to be one of us?
What we offer
Together. That’s how we do things. We offer people around the world a supportive, challenging and diverse working environment. We value your passion and commitment, and reward your performance
Take the next step
Fitting in at UBS means being passionate and motivated about what you do. If you like collaborating, are used to challenging others and being challenged in return, then you have the right attitude to thrive in our environment. Want to become part of our team? 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.