Senior Quantitative Risk Modeller
UBS
Switzerland - Zürich
vor 31 Tg.

Your role

Do you have experience in quantitative risk modelling with a focus on credit risk measurement in financial institutions?

Are you an innovative thinker who likes to challenge the status quo and apply new analytical techniques to solving quantitative problems?

Do you enjoy working in a highly specialized team to develop and deliver solutions? Then we are looking for someone like that to develop statistical and stress loss based credit models :

Understand credit portfolio specifics; discuss requirements, modelling decisions and impacts with business, finance and risk stakeholders

Analyze credit and macroeconomic data and identify patterns

Assess and select different possible model specifications and calibrations

Implement model specification as prototypes using R, SAS, etc. codes

Perform impact analysis, support communication to business

  • Prepare model documentation, perform and document model performance and confirmation tests Understand credit portfolio specifics;
  • discuss requirements, modelling decisions and impacts with business, finance and risk stakeholders

    Analyze credit and macroeconomic data and identify patterns

    Assess and select different possible model specifications and calibrations

    Implement model specification as prototypes using R, SAS, etc. codes

    Perform impact analysis, support communication to business

    Prepare model documentation, perform and document model performance and confirmation tests

    Your team

    You will be working in Credit Methodology Retail in Zurich. We develop, refine, implement and maintain mathematical, statistical and stress testing models to measure credit risk of the UBS's Retail and Wholesale portfolios for regulatory and business steering purposes.

    This specifically includes PD / LGD / EAD modelling, macroeconomic scenario loss models, credit allowance models, real estate valuation tools, portfolio and single client monitoring tools, etc.

    We interact with a number departments across the bank (incl. Front Office, Finance, IT, Credit Risk Management, Business pricing / steering) on a regular basis.

    For the development of our methodologies, we use techniques from quantitative risk management, financial mathematics and econometrics.

    Models are implemented mainly in R or SAS, before being embedded into the productive risk infrastructure.

    Your experience and skills

    You have :

  • Master's or PhD degree in a quantitative discipline (e.g. Mathematics, Statistics, Econometrics, Financial Engineering, Economics, Finance, Computer Science)
  • Good coding skills preferably in R or SAS
  • Sound knowledge of statistical and econometric methods and their application in financial institutions
  • Experience with big data is a plus
  • Strong analytical, conceptual and organizational skills
  • Outstanding conceptual and analytical capabilities combined with very good interpersonal and communication skills
  • Experience with leading junior colleagues or small teams is a plus
  • You are :

  • Experienced in risk methodology esp. credit risk with at least 2 to 5 years' experience in a related area
  • Fluent in English, German is a plus
  • Able to deliver high quality results in a fast pace environment with tight deadlines
  • 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 almost 900 offices and more than 50 countries. Do you want to be one of us?

    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.

    Why UBS?

    Bewerben
    Zu Favoriten hinzufügen
    Aus Favoriten entfernen
    Bewerben
    Meine Email
    Wenn Sie auf "Fortfahren" klicken, stimmen Sie zu, dass neuvoo Ihre persönliche Daten, die Sie in diesem Formular angegeben haben, sammelt und verarbeitet, um ein Neuvoo-Konto zu erstellen und Sie gemäß unserer Datenschutzerklärung per Email zu benachrichtigen. Sie können Ihre Zustimmung jederzeit widerrufen, indem Sie diesen Schritten folgen.
    Fortfahren
    Bewerbungsbogen