Market Risk – Structured Credit recruitment
The structured credit market risk function is responsible for understanding and controlling the risks in the various structured credit derivative and CVA businesses (involving hybrids rates and credit products, synthetic correlation products, structured financing and ABS risk)
As the successful candidate you will:
- Understand the complexities of structured derivative credit trades, including the risks that are not easily visible
- Understand the complexities of CVA risk management
- Proactively and independently analyse the trading book to ensure focus is given to the material risks
- Using market knowledge, understand the implications of hedging strategies
- Perform analysis on potential structured trades to ensure the trades can be risk managed to capture the day one value, and all risks will be visible
- Be able to understand the modelling implications used for the various products
- Mentor junior team members
- Understand what has caused the changes in reported risk, VaR and stress numbers in the exotic credit derivative book
Your key interactions (as one of the people in the market risk analysis team) would therefore be with the structured credit desk and CVA traders, the market risk reporting team and the quants.
Requirements
- You need to be a free-thinking individual with the ability to perform independent analysis for a variety of situations (e.g. reviewing new types of complex trades, risk management of positions, determining whether processes are coherent, etc)
- You should have good problem solving skills with preferably a degree in a maths/science/engineering discipline
- You should be a high calibre individual with a very strong knowledge of exotic/structured credit derivatives and market knowledge, these ideally being obtained on a trading desk, in a quant or structured market risk role
- You will need to understand the models required to price and produce hedge parameters and know which limitations are important for the various types of exotic derivatives. Given the nature of exotic credit derivatives, your understanding should extend beyond the credit space to include interest rate and fx modelling and markets
- You must possess excellent written and oral communication skills; this is especially important given the complexity of the trades and attention to detail needed
- You need to be pragmatic, enthusiast, and be willing to get your ‘hands dirty’ on the job
UBS
UBS can offer you an environment geared towards performance, attractive career opportunities, and an open corporate culture that values and rewards the contribution of every individual. 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.