Quantitative Risk Specialist – Valuation Models (Rates and FX)

 
We are looking for someone like that to: • Engineer independent price testing methodologies for new products and perform on-going review of existing ones • Review and develop calibration routines and test model input parameters• Assess Model Product Combinations (MPCs) from a valuation perspective, check the appropriateness of the valuation approach applied in the MPCs• Evaluate new model and analytics changes proposed by the business• Review and develop model fair value adjustments and liquidity adjustments and evaluate Front Office proposals for marking methodologies and valuation adjustments for MPCs• Provide support to the global Valuation Methodologies team in the authorization and approval of complex trades
Your teamYou will be working in Valuation Methodologies (VM) team in the Model Risk Management and Control (MRMC) group. Our main responsibilities are the governance and control of Independent Price Verification (IPV) Methodologies, Model and Product Combinations (MPC), Fair Valuation Adjustments (VA), Prudential Valuation Methodologies, Complex Transactions and Totem Submission Methodologies. Our team interacts on a daily basis with: other teams within MRMC and Risk, Front Office (FO) trading desks, FO Quantitative Analytics team, Finance group (IPV and Finance Control). The position is within the Rates & FX VM team in the Green Office (Kraków). We have a global coverage and are based in 2 locations: London and Krakow.
Your experience and skillsYou have:• Master or PhD degree in a quantitative discipline, such as mathematics, physics or a related technical field• Strong Analytical ability• Good working knowledge of Interest Rate and FX derivative products and models• Experience with Excel/VBA and ideally good programming skills in Python, R and/or C/C++
You are:• An excellent communicator with the ability to write technical documents in English• Able to work in close collaboration with other teams throughout the business • Are comfortable with quantitative models, ideally from a product valuation perspective• Experienced in product valuation and Independent Price Verification (IPV)
About usExpert 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 almost 900 offices and more than 50 countries. Do you want to be one of us?
What we offerTogether. That’s how we do things. We offer talented people around the world a supportive, stimulating and diverse working environment. We’ll value your passion and commitment. And reward your performance.
Take the next stepAre you truly collaborative? Succeeding at UBS means respecting, understanding and trusting colleagues and clients. Challenging others and being challenged in return. Being passionate about what you do. Driving yourself forward, always wanting to do things the right way. Does that sound like you? Then you have the right stuff to join us. Apply now on www.ubs.com/polandcareers

dodane przez MJCC