Quantitative Risk Modeller
Job Reference #
Do you enjoy working with large data sets and are interested in quantitative modelling of risk data? Do you enjoy working in a highly specialized team to develop and deliver solutions? Then we are looking for you to:
• gain profound understanding of the business reality which is to be represented in a model
• develop methodologies to assess risks for UBS Group and different legal entities around the globe leveraging insight of data.
• analyze diverse portfolio data and risks, and build statistical models
• construct and analyze statistical loss distributions of underlying risk factors
• discuss model requirements and assumptions with stakeholders (e.g., validators, team, and risk control)
• test different possible model specifications and calibrations
You’ll be working in the Statistical Risk Aggregation Methodology team in Krakow, Poland. Our role is to develop, maintain, and apply UBS’ statistical risk aggregation framework for assessing the impact of simulated risk scenarios on the firm’s profitability and capital adequacy. The framework captures all risk types across all businesses. We develop and maintain a suite of scenario-aligned risk category models. You'll have exposure to a variety of portfolios and risk types (both position risks and consequential risks) as well as work in a diverse team.
• a Master's degree in a quantitative or data science related discipline (e.g. Economics, Econometrics, Finance, Financial Engineering, Mathematics, Physics, Statistics)
• sound knowledge of statistical and econometric methods and their applications
• general understanding and interest in banking and financial markets
• experience in quantitative modelling (of risk data) preferred.
• experience in handling large datasets
• organizational skills with the ability to work under pressure within tight deadlines
• team-orientated, while able to complete tasks independently
• an expert user of the R and/or Python, knowledge of functional programming and object-oriented programming is preferred
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?
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.
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."