Your role:
Would you like to work in dynamic environment where your opinion and expertise is heard? Do you have analytical mind? We are looking for someone like that to:
• Coordinate as well as participate in the analysis and development work required to support the potential IR benchmark transition from Libor to new RFR
• Review and assess the appropriateness of derivatives pricing models and valuation methodologies, especially for the various interest rates models/products.
• Review, develop and execute parameter estimation and calibration routines, and provide technical assistance to other teams in valuation areas.
• Support the development of the valuations library.
• work closely with front office trading and quants, market risk control and valuation control
What we offer:
Together. That’s how we do things. We offer people around the world a supportive, challenging and diverse working environment. We value your passion and commitment, and reward your performance.
Keen to achieve the work-life agility that you desire? We're open to discussing how this could work for you (and us).
Take the next step:
Are 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.
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 Valuation Methodologies team focusing on Interest Rates derivatives. As part of Group Risk Control, the main objective of the team is to control the model vs market basis risk, including testing the valuation models' calibration to the market and its pricing of the exotic products, as well as development of the associated valuation methodologies.
Your expertise:
– Good knowledge of the Interest rate benchmark and development around new RFRs
– working knowledge of IR derivatives (single/multi CCY linear, collaterals modelling)
– good understanding of the front-to-back trading/risk management platform is preferred
– good knowledge of the mathematical finance and its practical use for derivative pricing
– MSc in a quantitative discipline
– It is desirable to have experience in testing the model calibration to the market, and development of control methodologies for IPV, reserving and prudential valuation
– proficiency in using Excel/VBA and preferably Python
– excellent written and interpersonal communication skills
– A good balance between theoretical knowledge and practical
– methodical, concise and accurate
– motivated to drive strategical initiatives, while keeping a strong attention to details
– able to apply technical understanding to practical problems
– willing to collaborate and share knowledge with your team
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 #: 184797BR
Business Divisions: Corporate Center
Title: Quantitative Risk Analyst- Interest Rates
City: London, Zürich
Job Type: Full Time
Country / State: Switzerland - Zürich, United Kingdom
Function Category: Risk