Exposure Risk Modeling & Analytics Specialist

  • Competitive
  • London, England, United Kingdom
  • Permanent, Full time
  • UBS UK
  • 20 Mar 19

Job Reference # 187395BR

Your role
Would you like to become an expert in counterparty risk management? Are you an innovative thinker who likes to challenge the status quo?
We're looking for someone like that to:
– document credit risk exposure models used for risk management, setting capital requirements, stress testing and expected loss calculations
– develop and maintain the models
– analyze and document model performance and confirmation tests
– make sure regulatory requirements and requests are dealt with in a disciplined, timely and efficient manner
– stay up to date on regulatory changes and trends, with particular focus on stress testing
– check that material issues are escalated to the relevant control functions and that reputation concerns are escalated to senior management

Your team
You'll be working in the Exposure Risk Measurement team within the Risk Methodology department.

We develop and maintain the credit exposure measurement capabilities of the Investment Banking division within the UBS Group. The quantitative methods we use are closely related to sophisticated derivative pricing models.

You will have the opportunity to coordinate and become the main global contact for the improvement of methodologies, processes and parameterization of our credit exposure measures for the banking and trading book (covering credit facilities, derivatives and securities financing transactions). As a client of the Front Office exposure calculation engines, you will also be responsible for ensuring the Risk Control requirements for capturing risk are delivered correctly. Last but not least, as owners of the Risk Exposure models, we also need to ensure the calculations meet the required regulatory standards.

Your expertise
You have:
– a university degree (Msc or PhD) in finance, mathematics, science or in a numerical discipline
– prior working experience (ideally 3+ years) in the financial services industry, including exposure to derivative pricing models (preferably across a range of asset classes)
– experience in stress testing framework (e.g. CCAR)
– strong analytical skills and the ability to apply techniques from numerical analysis, statistics and financial mathematics to solve practical problems
– working experience with high-level programming language (C#,C++), and knowledge of statistical modeling software (e.g. Rstudio, SAS, SQL) is desirable

You are:
– pro-active in taking new initiatives and carrying them through completions a great communicator (and you know how to handle challenging situations)
– team-orientated, while able to complete tasks independently
– able to explain technical topics clearly and intuitively to a non-technical audience
– fluent in English, both in oral and written form

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.