Quantitative Risk Specialist (Risk Methodology)

Quantitative Risk Specialist (Risk Methodology)

26 Jan

26 Jan



Your role

Are you adept at risk matters and familiar with quantitative risk modelling? Are you an innovative thinker and interested in risk topics? Do you know how to work well within a team to develop and deliver high quality solutions?

Within Credit Risk Methodology, which is part of Risk Methodology, the team is responsible for the certification and the regular confirmation of IB credit risk models at UBS.

The role as Quantitative Risk Specialist in the IB Credit Risk Analytics team primarily involves:

- Support maintenance of credit risk models for UBS Group and its different legal entities around the globe

- Carry out annual model confirmation in line with the internal governance of models policy, notably

o Assess model risk on input, methodology, implementation, and use

o Perform model performance testing and assess model outcome

o Check appropriateness of assumptions, parameters, model calibrations, qualitative or expert adjustments, etc.

- Interact and discuss with stakeholders

- Bring innovation and automation by actively elaborating and proposing improvements to our model maintenance and development process

Your team

You will be working within the Credit Risk Methodology PD, LGD & Capital IB team, which is part of UBS group-wide Risk Methodology. As a Quantitative Risk Specialist, you will be supporting and maintaining credit risk models used in the Investment Bank.

Your expertise

An ideal candidate has:

- a Master's or PhD degree in financial mathematics, statistics, physics or engineering

- prior working experience (5+years) in the financial services industry (preferably in a quant role), including exposure to wholesale credit risk models

- knowledge of credit risk models in the regulatory context and stress testing applications

- strong analytical skills and the ability to apply techniques from numerical analysis, statistics and financial mathematics to solve practical problems

- excellent coding skills, preferably in R

- collaboration and team-orientation, while able to complete tasks independently with a high quality standard

- showing high standards when it comes to report writing in a structured way and explain technical topics clearly and intuitively

- outstanding communication skills with colleagues at all levels of the organization

Your colleagues

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 more than 50 countries. Do you want to be one of us?

Join us

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.