Libor - Quantitative Risk Analyst Libor - Quantitative Risk Analyst …

UBS.
in London, England, United Kingdom
Contract, Full time
Last application, 14 Jun 19
Competitive
UBS.
in London, England, United Kingdom
Contract, Full time
Last application, 14 Jun 19
Competitive
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.

Your role

Would you like to work in dynamic environment where your opinion and expertise is heard? Do you have analytical mind? We are looking for someone like that to:

• Coordinate as well as participate in the analysis and development work required to support the potential IR benchmark transition from Libor to new RFR

• Review and assess the appropriateness of derivatives pricing models and valuation methodologies, especially for the various interest rates models/products.

• Review, develop and execute parameter estimation and calibration routines, and provide technical assistance to other teams in valuation areas.

• Support the development of the valuations library.

• work closely with front office trading and quants, market risk control and valuation control

 

Your team

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.

Your experience and skills

You have:

  •  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
  •  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

 

You are

  •  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

This is a contract role at UBS via Hays Talent Solutions. 

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