Quantitative Risk Specialist – Credit Methodology
Does financial modeling excite you? Do you have a flair for quantifying value and risk? We’re looking for someone like that who can:
- Contribute to the constant refinement and improvement of credit risk methods in line with the applicable regulatory and accounting requirements
- Develop risk-based monitoring tools
- Extend the set of available risk measures in order to support the work of credit officers and client advisors
- Work closely with risk officers, reporting teams and IT business analysts to improve quality of credit risk representation and measures
- Run risk scenarios
- Suggest improvement in our internal systems
You’ll be working in the Credit Methodology team in Zabierzów (Kraków Business Park). Our role is to develop and maintenance all firm-wide credit risk models. Those include the Bank's models for assessing default probabilities (PDs), loss given defaults (LGDs), Exposure at Default (EaD for traded products and banking products) and associated credit portfolio models for both the Investment Bank and the Retail & Corporate portfolios. Our team is responsible for developing calculation models for securities lending values and derivatives margins as well as methods for risk control and monitoring on both portfolio and client level. This includes stress testing, expected loss calculation, concentration and liquidity analyses. The team is also responsible for developing and maintaining all valuation tools for real estate collateral as well as any other models supporting business and underwriting processes.
Your experience and skills
- a degree in finance, physics, mathematics, computer science, engineering, econometrics or related
- understanding of financial markets and products
- prior working experience in a credit risk environment would be beneficial together with knowledge of regulatory practice
- proficient using programming languages (e.g. MatLab, SAS, or R)
- experienced in analyzing large data sets
- capable of documenting any model development in a clear way (ability to explain models to non-technical audience)
- fluent in English
- excellent communicator
What we offer
Together. That’s how we do things. We offer talented people around the world a supportive, stimulating and diverse working environment. We’ll 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.