UBS Financial Services Senior Quantitative Risk Specialist (UBS Career Comeback) in London, Switzerland
Senior Quantitative Risk Specialist (UBS Career Comeback)
Switzerland - Zürich, United Kingdom
Quantitative Analysis, Risk
Job Reference #:
Been out of the workforce for two or more years and ready to come back? Already built a career in financial services (or in a transferable role) and want to take the next step on your career path?
We recognize the added value that experienced talent brings into our workplace. And we also know that it’s not always easy to find the right work opportunity after a career break. That’s where UBS Career Comeback comes in – to help make the transition back to work a success.
Does modeling excite you? 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? For our market risk models validation team we’re looking for an experienced quantitative analyst who can:
– carry out project-based independent model reviews
– assess a model's conceptual soundness and methodology
– implement benchmark models
– check appropriateness of input data, the model assumptions and parameters, the accuracy of the model calibration, as well as of qualitative or expert adjustments, etc.
– review outcome, impact, or benchmark analyses
– perform model robustness analysis and identify and evaluate model limitations
– document the assessment to required standards
– interact and discuss with stakeholders (model developers as well as senior model owner and model governance bodies)
You’ll be working in the Model Risk Management & Control team in Zürich/London. Our team is responsible for the independent review and challenge of market risk models used within UBS (model validation). In market risk models validation the model universe covers all market risk models including (but not limited to) Value-at-Risk, Risks-not-in-VaR, Market Risk Stress Loss, etc. and the entire suite of model changes due to FRTB. The models cover regulatory capital, economic capital, stress testing and internal risk management applications.
– a Master or PhD degree in mathematics, physics, financial mathematics or statistics.
– at least 5 years of direct and relevant experience in market risk modelling, spent in a model development and/or model validation role.
– expertise in both theory (methodology) and implementation of market risk models.
– expert knowledge of risk factor modelling approaches (eg. historical simulation), PL representations and approximations.
– expertise in derivative valuation models, from stochastic calculus to implementation of pricing algorithms (Monte-Carlo, PDE, Trees), and good understanding of portfolio effects (covariances, basis risks, etc).
– expert knowledge of financial markets and the regulatory landscape.
– excellent communication skills and the ability to explain technical topics clearly and intuitively, both written and orally.
– proficient in market risk and derivative pricing models and modeling software, and you have strong knowledge of financial products, including derivatives and structured products.
– co-operative and team-orientated, while being able to motivate and organize yourself and complete tasks independently to high quality standards and in time.
– fluent in English, oral and written.
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 HR Recruiting Switzerland
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.