Senior Quantitative Modeler

Poland

Risk

Corporate Center

Job Reference #

201712BR

City

Kraków

Job Type

Full Time

Your role

Are you an expert on risk? Do you know how to work well within a team to develop and deliver solutions? We’re looking for someone like that to:

• contribute to the constant refinement and improvement of our credit risk methods in line with the regulatory and accounting requirements
• develop and maintain tools and models for measuring PDs and LGDs as well as for stress testing (incl. regulatory stress exercises such as CCAR)
• develop risk-based monitoring tools both on a portfolio as well as on a single client level (e.g., concentration and/or liquidity) from which steering actions for our portfolios will be derived
• extend the set of available risk measures in order to support the work of credit officers and client advisors in their core function
• work closely together with risk officers (market and credit), reporting teams and IT business analysts in a joint effort to improve the quality of credit risk representation and credit risk measures.
• support senior management with portfolio as well as single client analysis based on specific risk scenarios
• support the process of industrialization by actively elaborating and proposing improvement of our internal data systems and data sourcing processes in terms of quality and efficiency

Your team

You’ll be working in the Credit Risk Methodology team, which is part of Risk Methodology, in Zabierzow (Krakow Business Park). Our role is to develop and maintain all firm-wide credit risk models. Those include among others the Bank's models for assessing default probabilities (PDs), loss given defaults (LGDs), Exposure at Default (EaD for traded products and banking products) and associated credit portfolio models for both the Investment Bank and the Retail & Corporate portfolios. In addition, the team develops calculation models for securities lending values and derivatives margins as well as methods for risk control and monitoring on both portfolio and client level, such as stress testing, expected loss calculation, concentration and liquidity analyses.

Your expertise

• a Master’s or PhD degree in a quantitative field like Financial Mathematics, Statistics or Econometrics
• sound practical understanding of financial markets and products
• prior working experience in a credit risk environment with Probability of Default (PD) & Loss Given Default (LGD) estimation experience together with knowledge of regulatory practices
• experience with high-level programming language, and knowledge of statistical modelling software (e.g., SAS, R, MatLab)

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 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.