Quantitative Risk Modeler
Job Reference #
Are you adept at risk matters? Are you interested in working in a team of quants? Do you know how to work well within a team to develop and deliver solutions? Then we are looking for you to:
– create, develop and maintain methodologies for scenario expansion for UBS
– use techniques from quantitative risk management, statistics, financial mathematics and econometrics to develop, assess, and change models
– implement models in R and produce clear and detailed documentation for regulators across the globe
– bring new quantitative modeling ideas to our team to push ahead a key project within the bank
You’ll be working in the Scenario Expansion Methodology team with members in the US, UK, Switzerland, Poland, and India. Our role is to develop and maintain models that are used to expand scenarios with a few risk factors into scenarios with a large universe of risk factors consistent with the scenario narrative. The results of our models are used to assess the impact of macro-economic and market-shock scenarios on the firm’s profitability and capital adequacy. Our deliveries are key to regulators across the globe, used for accounting standards, and internal capital assessments. The framework captures all risk types across all businesses world-wide.
– a Master's or PhD degree in applied quantitative discipline (e.g. Econometrics, Statistics, Financial Engineering, Computational Science, Quantitative Finance)
– experience in building models from scratch (e.g., time series analysis, linear/non-linear models, Gaussian/non-Gaussian models, parametric/non-parametric models)
– sound knowledge of statistical and econometric methods and their application
– programming knowledge. Experience in writing code is essential (spreadsheet macros don't count)
– strong analytical, conceptual and organizational skills with the ability to work to tight deadlines
– general understanding and interest in (macro-) economic mechanisms and their influence on financial markets
– an understanding of the following terms: stationarity, OLS, R-squared, Akaike, goodness of fit, out-of-sample, null hypothesis, p-value, risk-neutral, collinearity, heteroscedasticity, quantiles
– experienced in creating your own models
– proficient in programming with statistical software (e.g. R, Matlab, …)
– great in communicating (and you know how to handle challenging situations)
– a team-player, while able to complete tasks autonomously
– fluent in English, additional languages are welcome
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.
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.
Quantitative Risk Modeler | UBS
You are kindly requested to include the following clause in your application: "Wyrażam zgodę na przetwarzanie moich danych osobowych zawartych w ofercie pracy dla potrzeb procesu rekrutacji zgodnie z ustawą z dnia 27.08.1997r. Dz. U. z 2002 r., Nr 101, poz. 923 ze zm."