14 days ago

Senior Quantitative Risk Specialist


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Senior Quantitative Risk Specialist

Your role
Does modeling excite you? 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? For our market risk models validation team we're looking for an experienced quantitative analyst who can:
– carry out project-based independent model reviews
– assess a model's conceptual soundness and methodology
– implement benchmark models
– check appropriateness of input data, the model assumptions and parameters, the accuracy of the model calibration, as well as of qualitative or expert adjustments, etc.
– review outcome, impact, or benchmark analyses
– perform model robustness analysis and identify and evaluate model limitations
– document the assessment to required standards
– interact and discuss with stakeholders (model developers as well as senior model owner and model governance bodies)

Your team
You'll be working in the Model Risk Management & Control team. Our team is responsible for the independent review and challenge of market risk models used within UBS (model validation). In market risk models validation the model universe covers all market risk models including (but not limited to) Value-at-Risk, Risks-not-in-VaR, Market Risk Stress Loss, etc. and the entire suite of model changes due to FRTB. The models cover regulatory capital, economic capital, stress testing and internal risk management applications. Your main focus will be on the validation of market risk models applied to various stress calculations

Your experience and skills
– an advanced degree in a quantitative subject and a certification as financial risk manager (FRM).
– at least 3-5 years of direct and relevant experience in market risk modelling and validation (VaR and stress), spent in a model validation role in an international setup in large multinational financial institutions.
– expertise in both theory (methodology) and implementation of market risk models, and in particular in the area of stress models.
– expert knowledge of risk management in general and of risk factor modelling approaches (e.g., historical simulation), PL representations and approximations, together with knowledge of derivative valuation models and expert understanding of portfolio effects (covariance's, basis risks, etc).
– experience in implementing models in different programming languages, i.e., you have experience with some of R, Matlab, Python, VBA; paired with experience using front office systems to price and risk manage derivatives.
– expert knowledge of the regulatory landscape, in particular with respect to stress modelling (e.g., CCAR).
– excellent communication skills (in English) and the ability to explain technical topics to senior management and regulatory bodies (e.g., for CCAR following SR 11-7 guidelines), both orally and written (ideally in LaTex).

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?

Join 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.

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