Quantitative Analyst, Corporate and Sovereign Lending Models
Job Reference #
Do you have a proven record of driving lasting business impact by developing state-of-the-art quantitative models, applications and strategies? Are you an expert of the market, client needs and best practice application of trading, investment, and risk processes?
At UBS, we re-imagine the way we work, the way we connect with each other – our colleagues, clients and partners – and the way we deliver value. Being agile will make us more responsive, more adaptable, and ultimately more innovative.
We’re looking for a Quantitative Analyst to:
• support the development, maintenance, and refinement of our IRB/Pillar I risk models for the sovereign and public sector portfolios, in line with the regulatory and accounting requirements
• support the development of rating tools, probability of default, loss given default, as well as exposure at default models in line with Basel III+ regulatory requirements
• support key stakeholder with portfolio as well as single client analysis and presentations
• contribute to the model documentation, impact analysis, data, and systems improvement
You’ll be working in the Corporates and Sovereign Lending Models Crew team in Krakow focusing on sovereign and public sector models. The crew is responsible for the development and maintenance of all firm-wide credit risk models, involving assessment of default probabilities (PDs), loss given defaults (LGDs) in the context of new regulatory requirements such as Basel III+, CCAR or IFRS9 for corporates and sovereign portfolios. Models are implemented mainly in SAS, R and/or Python. The crew interacts with several departments across the bank including Front Office, Finance, IT, Credit Risk Control.
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.
• ideally 1-3 years of quant modelling experience within the finance sector, utilizing stochastic calculus
• previous exposure to public sector and sovereign portfolio
• knowledge on Basel regulatory requirements
• proficient in coding languages such as SQL, SAS, Python, R
• capable of documenting any model development and confirmation in a clear way
• self-driven, organized and detail-oriented with a solid understanding of banking industry
• Master’s or PhD degree or equivalent in mathematics, statistics, physics, computer science or engineering
• excellent English skills (oral and written).
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?
How we hire
This role requires an assessment on application. Learn more about how we hire: www.ubs.com/global/en/careers/experienced-professionals.html
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."