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 support regulatory exercises
You’ll be working within the Credit Stress Methodology WM Americas team in Zurich. 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 departments across the UBS (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.
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.
• graduate or PhD degree a in a quantitative field such as Financial Mathematics, Financial Engineering, Statistics or Econometrics
• 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
To apply for this job please visit jobs.ubs.com.