Risk Modelling & Analytics Specialist

– assess a model's conceptual soundness and methodology
– check appropriateness of assumptions, parameters, model calibrations, qualitative or expert adjustments
– review outcome, impact, or benchmark analyses and develop a benchmark model (as appropriate)
– assess model risk, including model robustness analysis and identification of limitations
– document the analysis, findings and conclusion in a validation report
– interact with stakeholders (e.g. model developer/owner, model governance committees, and senior management)

Your team

You’ll be working in the Model Risk Management & Control team for Risk Models in Zabierzow (Krakow Business Park). Our global team is responsible for the independent validation of all risk models used within UBS. The model universe encompasses credit and issuer as well as market, treasury and consequential risk models including regulatory capital, economic capital, stress testing and other risk management applications.

Your experience and skills

You have:
– a Master's or PhD degree in financial mathematics/engineering, statistics, or econometrics
– ability to apply quantitative techniques to solve practical problems, especially in the areas of economic capital or stress testing
– good communication skills and the ability to explain technical topics clearly and intuitively, both written and orally
– as a junior, understanding of financial markets and products
– as a senior, modelling or validation experience in either of the following areas:
o credit and issuer risk, e.g. rating tools, loss-given-default, credit portfolio modelling, etc.
o market and consequential risk, e.g. market risk VaR and stress loss, operational risk, business risk, etc.
o treasury risk, e.g. liquidity and funding risk modelling, interest rate risk in the banking book, etc.

You are:
– solid in econometric models and proficient in using statistical modeling software (e.g., Matlab, R, SAS, STATA)
– co-operative and team-orientated, while being able to motivate and organize yourself and complete tasks independently to highest quality standards
– fluent in English, in oral and written form

What we offer

UBS offers talented individuals around the world a challenging, diverse and supportive working environment in which passion, commitment and hard work are valued and rewarded.

Fitting in at UBS means being passionate and motivated about what you do. If you like collaborating, are used to challenging others and being challenged in return, then you have the right attitude to thrive in our environment. Want to become part of our team? Apply now.

dodane przez MJCC