Your role Are you an expert in quantitative modelling? Are you an innovative thinker who likes to challenge the status quo? Are you an engaged and motivated personality who likes to understand the big picture? Do you enjoy working in a highly specialized team to develop and deliver solutions? Then we are looking for someone like that to develop risk models for statistical risk aggregation purposes, including: – Compile relevant information needed to develop or adapt a model – Discuss model requirements and assumptions with stakeholders – Test different possible model specifications and calibrations – Perform impact analysis – Diligently document the development process – Prepare presentations to senior management and regulators – Perform and document model performance and confirmation tests
Your team We develop, refine, implement, and maintain mathematical and statistical models to measure all material risks across UBS to assess our capital requirements, comprising models for individual risk types (including market, credit, issuer, investment, funding, operational, pension, business risk etc.), as well as methodologies to aggregate risks. For the development of our methodologies, we use techniques from quantitative risk management, financial mathematics and econometrics. Models are implemented mainly in R, before being embedded into the productive risk infrastructure.
Your experience and skills Your experience and skills – A Master's or PhD degree in a quantitative discipline (e.g. Mathematics, Statistics, Econometrics, Financial Engineering, Economics, Finance) – Experience in leading small teams and projects – Excellent coding skills in R, Matlab and Python with experience of object-oriented programming – Very good knowledge of statistical and econometric methods and their application within risk modeling – In-depth knowledge of economic capital models covering different framework approaches (e.g. copula or risk driver based), different risk types (at least Credit, Market, Operational and Business Risk) and different risk allocation approaches (bottom-up and top-down) – Experience with handling large datasets and high performance computing – Outstanding conceptual and analytical capabilities combined with very good interpersonal and communication skills – Solid understanding of different business activities (including Wealth Management/ Retail/ Investment Bank/ Asset Management as well as firm-wide such as Treasury business activities) and products – Familiarity with accounting standards and key rules is a plus – Familiarity with ICAAP processes is a plus – Experience in interaction with regulatory authorities (especially FINMA/ ECB) is a plus
You are: – Having at least 5 years experience in a related area (with at least 3 years spent in risk methodology) – Fluent in English – Experienced in writing documentation of complex statistical methodologies in LaTeX – Able to deliver high quality results in a fast pace environment with tight deadlines
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?
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.
Internal Number: 5503833
About UBS AG Suisse
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