Your role:
Are you an expert in analytics? Are you an innovative thinker who likes to challenge the status quo? Do you know how to work well within a team and deliver effective solutions? We're looking for someone who is eager to perform independent validation of models used in the bank’s Treasury function by
– analysing the model's conceptual and mathematical soundness
– assessing the model's implementation, developing quantitative benchmark analyses
– scrutinizing input data, model assumptions and parameters, expert adjustments
– reviewing the calibration quality, model outcome, and model performance tests
– identifying model weaknesses and limitations and evaluating overall model risk
– documenting the assessment in LaTeX for internal as well as regulatory purposes
– interacting with stakeholders: model developers and users, senior management, internal and external audit and regulators, as a representative of the bank’s independent control function for model risk
Quantitative Risk Specialist - Treasury Model Validation
City:
Opfikon
Job Type:
Full Time
Country / State:
Switzerland - Zürich
Function Category:
Risk
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.
Your team:
You’ll be working in the Model Risk Management & Control team in Zürich. Our team is responsible for the independent validation of risk models used within UBS, in particular Treasury risk models covering aspects of interest rate risk in the banking book (e.g., modelling of non-maturing deposits), liquidity and funding stress models, including stress testing applications like CCAR.
Your expertise:
– a MSc or PhD (preferred) degree in mathematics, physics, statistics, financial mathematics, or a related quantitative field
– knowledge of financial markets and products, experience and strong interest in the financial services industry, preferably in risk management
– solid coding skills in R, Python, Matlab or similar
– excellent analytical skills
– curious and eager to engage in emerging areas of financial modelling
– able to explain technical concepts in simple, intuitive terms to facilitate collaboration
– co-operative and team-oriented, while being able to motivate and organize yourself and complete tasks also independently to high quality standards
– fluent in English, oral and written
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?
Your colleagues:
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.
Job Reference #: 186948BR
Business Divisions: Corporate Center
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