UBS Financial Services Quantitative Risk Specialist – Risk Analytics Capital & Stress in Weehawken, New Jersey

Quantitative Risk Specialist – Risk Analytics Capital & Stress

United States - New Jersey


Corporate Center

Job Reference #:




Job Type:

Full Time

Your role:

Are you experienced in credit risk modeling, credit stress testing or time series analysis with a focus on residential mortgages? Are you an innovative thinker who likes to challenge the status quo and apply new analytical techniques to solving quantitative problems? Do you enjoy working in a highly specialized team to develop and deliver solutions? We are looking for someone like that to develop stress loss based credit models:

•assume responsibilities for the development and maintenance of credit models for the corporates and retail portfolios (incl. PD/LGD/EAD), especially the development of a retail mortgage stress model in the context of CCAR

•assume responsibilities for the development of stress testing / macro-economic forecasting models in line with the international regulatory and accounting requirements

•understand credit portfolio specifics; discuss requirements, modeling decisions and impacts with business, finance and risk stakeholders

•analyze credit and macroeconomic data and identify patterns

•assess and select different possible model specifications and calibrations

•implement model specification as prototypes using R, SAS, etc.

•engage with client advisors and risk officers across the globe to deliver risk measures and management solutions for their specific portfolios

•support key regulatory projects of the bank as required e.g. US CECL, CCAR/DFAST, IFRS9, Basel IV and other support regulatory exercises

Your team:

You’ll be working within the Stress Methodology & Scenario Analysis team in Zürich, Weehawken, Stamford, Salt Lake City, or Dallas, which are part of group-wide UBS Risk Methodology. Our role is to develop and maintain firm-wide credit risk models covering UBS's Retail and Wholesale portfolios, models for RWA forecasting, stress models for consequential risk, statistical models and scenario forecasts for regulatory and business steering purposes. We interact with a number departments across the bank (incl. 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.

Your expertise:

You have:

•a graduate or PhD degree a in a quantitative field such as Financial Mathematics, Financial Engineering, Statistics or Econometrics

•sound knowledge of statistical and econometric methods and their application

•a sound practical understanding of macro- and microeconomic relationships as well as financial markets and banking products

•detailed practical knowledge of credit risk modeling for a retail mortgage portfolio is essential

•5 – 10 years of experience in a credit risk environment together with knowledge of regulatory practice

•experience in mortgage stress testing

•a track record of delivering under time and resource constraints

•experience in leading a small team/project team of developers is preferred.

•experience with high-level programming language, and knowledge of statistical modeling software (preferably in R)

•experience with large data sets / Big Data is beneficial

•excellent communication skills with colleagues at all levels in the organization

You Are:

•able to explain technical concepts in simple terms to facilitate collaboration

•fluent in English, both in oral and written form

•self-driven and pro-active in taking new initiatives and carrying them though completion

•able to deliver high quality results in a fast pace environment with tight deadlines

•skilled giving and receiving constructive feedback

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?

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.