Quant Risk Analyst – Exposure Measurement recruitment
This team is part of a Group wide Risk Methodology function and is dedicated to developing and improving exposure measurement capabilities of the Investment Banking division within the UBS Group.
You will have the opportunity to coordinate and become the main global contact for to the improvement of methodologies, processes and parameterization of our Exposure Measures for banking book and trading book (OTCs/SFTs/ETDs). As a client of the Front Office exposure calculation engines you will be also responsible for ensuring the Risk Control requirements for capturing risk are delivered correctly.
In the immediate term the focus will be on the successful delivery of our Basel 3 exposure measure. In parallel with the model development we review the credit risk information we obtain from the front office systems in order to obtain sufficient granularity and the necessary risk numbers to obtain an integrated exposure view of our portfolio. This requirement spans across the standard Credit Exposure, as well as the Issuer Risk spectrum The role offers methodology work with the opportunity to drive global initiatives within UBS and interact with colleagues in other functions.
You will work closely together with risk officers (market and credit), reporting teams and IT business analysts in a joint effort to improve the quality of credit risk representation and credit risk measures and you will lead a young and dynamic team
Requirements
- M.Sc. or PhD in a quantitative discipline, preferably in Financial engineering
- Proven experience in the financial industry, preferably in a risk environment
- Proven project management and excellent communication skills
- Strong analytical skills and strong leadership
- Thorough understanding of financial products and of credit risk modelling
- Persistence and commitment to deliver high quality work
- Very good command in English (oral and written)
- Excellent command of MS office and programming skills (SQL, R, VBA)
The role as Quantitative Analyst offers:
- The chance to play a key role in the enhancement of the risk management framework in an global investment bank
- The chance to work in a dynamic and interesting environment
- The chance to contribute to the success of important projects with your own ideas and initiatives