Quant Risk Specialist – Credit Risk Methodology recruitment
The team mandate is the development and maintenance of the Bank's models for assessing default probabilities (PDs), loss given defaults (LGD), exposure at default (EAD for traded products and banking products) and associated credit portfolio models for both the IB and the WMSB portfolios. In addition, the team develops, validates and implements calculation models for securities lending values and derivatives margins as well as methods for risk control and monitoring in Lombard lending on both portfolio and client level, such as stress testing, expected loss calculation, and concentration and liquidity analyses. Finally the team develops and maintains the Real Estate valuation tools for both owner occupied and Income Producing real estates.
The role as Quantitative Risk Specialist primarily involves:
- Contribute to the refinement and improvement of our credit risk methods
- Provide support for monitoring risk (e.g., concentration and/or liquidity), both on product and client level
Requirements
- Master’s or PhD degree in Finance, Economics, Statistics or Econometrics
- Prior working experience in a credit risk environment skills would be beneficial, in particular experience with rating modelling.
- Ability to apply techniques from numerical analysis, statistics, and financial mathematics to solve practical problems
- Sound practical understanding of financial markets and products
- Co-operativeness and team-orientation, while able to complete tasks independently with a high quality standard
- Proactiveness in taking new initiatives and carrying them through completions
- Experience with high-level programming language, and knowledge of statistical modelling software (e.g., SAS, R, Matlab, Mathematica)
- Excellent communication skills with colleagues at all levels in the organisation. Ability to explain technical topics clearly and intuitively, both written and orally
- Experience with large data sets and knowledge of regulatory practice would be desirable
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.