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