You'll be working in the Valuation Methodologies team focusing on Interest Rates derivatives. As part of Group Risk Control, the main objective of the team is to control the model vs market basis risk, including testing the valuation models' calibration to the market and its pricing of the exotic products, as well as development of the associated valuation methodologies.
– Good knowledge of the Interest rate benchmark and development around new RFRs
– working knowledge of IR derivatives (single/multi CCY linear, collaterals modelling)
– good understanding of the front-to-back trading/risk management platform is preferred
– good knowledge of the mathematical finance and its practical use for derivative pricing
– MSc in a quantitative discipline
– It is desirable to have experience in testing the model calibration to the market, and development of control methodologies for IPV, reserving and prudential valuation
– proficiency in using Excel/VBA and preferably Python
– excellent written and interpersonal communication skills
– A good balance between theoretical knowledge and practical
– methodical, concise and accurate
– motivated to drive strategical initiatives, while keeping a strong attention to details
– able to apply technical understanding to practical problems
– willing to collaborate and share knowledge with your team
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.
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We're a truly global, collaborative and friendly group of people. Having a diverse, inclusive and respectful workplace is important to us. And we support your career development, internal mobility and work-life balance. If this sounds interesting, 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.