UBS Financial Services Senior Credit Exposure and Portfolio Valuations Quant in London, United Kingdom

Your role:

Does quantitative analysis and challenging of complex mathematical models excite you? Do you enjoy teamwork across different locations and are you a good communicator? We’re looking for someone like that who can:

– analyse in a model's conceptual and mathematical soundness and assess its fitness for the use purpose

– device sophisticated quantitative model testing strategies, including benchmark model development, in C++/C#, Python, R

– provide effective challenge to model owners on identified model risks and model limitations

– communicate and collaborate with stakeholders to manage and mitigate model risks

– produce high standard model review documentation for stakeholders, including regulators

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.

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 Model Risk Management and Control (MRMC) Credit Exposure and Portfolio Valuations team in London. We are team of model validation quants based in London, Zurich and Krakow. We identify, quantify and manage model risks and perform model validation for the Bank’s counterparty credit exposure and XVA (CVA and others) models. We work closely with model owners (front-office quants, risk methodology quants) , and we have regular interactions with other functions in the bank (finance, credit risk control, etc) as well as regulators across the globe.

Your experience and skills:

You have:

– master's degree in a quantitative field (Mathematics/Physics/Financial Engineering), preferably augmented by a PhD

– previous experience in a quantitative role related to model development or validation in the area of derivatives pricing models, xVA models or counterparty credit exposure models

– in depth understanding of quantitative risk management techniques, financial mathematics, stochastic calculus, numerical techniques such as Monte Carlo/American Monte Carlo simulation.

– knowledge of and experience with derivatives pricing models of various asset classes. Previous experience with CVA and counterparty credit modelling is desirable.

– sound programming skills in C/C++/C#. Familiarity with LaTeX, Python, R is a plus

– excellent communication and document writing skills, experience with writing technical documentation for regulators is a plus

You are:

– a team player, dependable, organized and curious

– able to work in a team spread across several locations, develop and maintain relationships

– comfortable with working on multiple projects, prioritizing according to risk and relevance, adhering to 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?

Job Reference #: 154710BR

Business Divisions: Corporate Center

Title: Senior Credit Exposure and Portfolio Valuations Quant

City: London

Job Type: Full Time

Country / State: United Kingdom

Function Category: Risk