Senior Economic and Credit Risk Modelling Specialist

Job content

Job Reference #
261975BR

Job Type
Full Time

Your role
Are you experienced in quantitative risk modelling, in particular in the area of Credit Risk modelling and stress testing for credit portfolios? 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 a senior economic and credit risk modelling specialist to:

• lead the 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
• communicate technical information to Senior Management, Client Advisors, Risk Officers and Subject Matter Experts
  
  

The role will focus on climate risk modelling (i.e. forecasting the affect of climate change on credit losses), and will in addition have exposure to other traditional risk models (e.g. stress testing, IFRS9 ECL) that the team develops and maintains.

Your team
You will be working in Credit Risk Methodology in Zürich 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.

Diversity helps us grow, together. That’s why we are committed to fostering and advancing diversity, equity, and inclusion. It strengthens our business and brings value to our clients.

Your expertise

• prior working experience in the financial services industry, including exposure to credit risk models (e.g. PD, LGD, EAD preferably for mortgage and/or corporate loan portfolios)
• experience in climate risk modelling in the context of credit risk would be a plus (e.g. prior development of climate risk models to forecast the effects of physical and transition risks on a credit portfolio)
• Master’s or PhD degree in a quantitative discipline (e.g. Financial Engineering, Economics, Finance, Econometrics, Mathematics, Statistics)
• 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;
• coding skills with statistical modelling software (R, SAS, SQL) is a minimum
• experience with large data sets / big data is a plus
• good communication skills with colleagues at all levels in the organisation, fluent in English, both verbal and written form
  
  

About Us
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?

Join us
At UBS, we embrace flexible ways of working when the role permits. We offer different working arrangements like part-time, job-sharing and hybrid (office and home) working. Our purpose-led culture and global infrastructure help us connect, collaborate, and work together in agile ways to meet all our business needs.

From gaining new experiences in different roles to acquiring fresh knowledge and skills, 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.

Your Career Comeback
We are open to applications from career returners. Find out more about our program on ubs.com/careercomeback.