Quantitative Analyst, Counterparty Stress Exposures Models

Job content

Critères de l’offre

Description du poste

Do you have a proven record of driving lasting business impact by developing state-of-the-art quantitative models, applications and strategies? Are you an expert of the market, client needs and best practice application of trading, investment, and risk processes?

At UBS, we re-imagine the way we work, the way we connect with each other - our colleagues, clients and partners - and the way we deliver value. Being agile will make us more responsive, more adaptable, and ultimately more innovative.

We’re looking for a Quantitative Analyst to:

• develop and maintain stress models for OTC, ETD and SFT exposures in line with regulatory requirements and models used for internal monitoring used by the Credit Officers
• front to back review of existing Counterparty Credit Risk data and implementation landscape
• engage with internal and external stakeholders at all levels in the organization, including audit and regulators
• develop prototype codes that will be used in productive systems
• interact with Risk and Finance expert functions as well as business representatives across the globe to deliver efficient and regulatory compliant solutions

Description du profil

• prior working experience in the financial services industry, including exposure to derivative pricing models (preferably across a range of asset classes)
• a sound understanding of asset pricing and/or SFT, OTC and ETD transactions across all major asset classes
• MS or PhD degree a in a quantitative field such as Quantitative Finance, Statistics, Econometrics, Mathematics or Physics
• sound knowledge of statistical and econometric methods and their application
• strong analytical skills and the ability to apply techniques from numerical analysis, statistics and financial mathematics to solve practical problems
• good IT skills (R or/and Python) or the ability to pick up these fast by demonstrating advanced knowledge in programming languages like C++, Matlab
• experience working with large data sets is beneficial
• good communication skills with colleagues at all levels in the organization
• fluent in English, both in oral and written form