Risk Modelling & Analytics Specialist
Job Reference #
Do you have experience in quantitative risk modeling with a focus on credit risk measurement in financial institutions? 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? Then we are looking for you to:
• create, develop and maintain macro-forecasting and stress testing models for credit risk of UBS
• use techniques from quantitative risk management, financial mathematics and econometrics to develop, assess, and change models
• understand credit portfolio specifics; discuss requirements, modelling 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 mainly using R
• 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 regulatory exercises
You’ll be working within the Credit Stress Methodology WM Americas team in Krakow. The team has members in US, Switzerland, Poland and India. Our role is to develop and maintain firm-wide credit risk models covering UBS's Retail and Wholesale portfolios and models for RWA forecasting. The results of our models are used to assess the impact of macro-economic scenarios on the firm's profitability, financial statements and capital adequacy. We interact with a number of 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.
• a graduate or PhD degree a in a quantitative field such as Financial Mathematics, Financial Engineering, Statistics or Econometrics
• working experience in a relevant area is preferred
• a sound practical understanding of macro- and microeconomic relationships as well as financial markets and banking products is preferred
• strong analytical, conceptual and organizational skills with the ability to work to tight deadlines
• cooperative and team-oriented approach, while able to complete tasks independently with a high quality standard
• experience with high-level programming language, and knowledge of statistical modeling software (preferably in R)
• excellent communication skills with colleagues at all levels in the organization
• 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
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.
Risk Modelling & Analytics Specialist | UBS - Experienced professionals - job boards
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."