Quantitative Risk Specialist - Valuation and Trading Models
August 12, 2018
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:
Review and assess the appropriateness of derivatives pricing models and valuation methodologies (the role covers a range of different models and 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.
Your team You will be working in the Krakow Valuation Models (VM) team in the MRMC - Valuation and Trading Models group. Our main responsibilities are governance and control of Independent Price Verification (IPV) Methodologies, Model and Product Combinations, Fair Valuation Adjustments, Prudential Valuation Methodologies, Complex Transactions and Totem Submission Methodologies. Our team interacts on a daily basis with other teams within MRMC and Risk, Front Office (FO) trading desks, FO Quantitative Analytics team, Finance group (IPV and Finance Control). The position is within the Valuation Models team in Krakow. We have a global coverage and are based in a number of locations: London, Zurich, Krakow (Green Office) and Shanghai.
Your experience and skills You have:
Master or PhD degree in a quantitative discipline (e.g. Quantitative Finance, Mathematics, Physics, Engineering)
Strong interest in quantitative finance and derivatives pricing.
A good balance between theoretical knowledge and a practical approach
Skills in Excel/VBA and preferably good programming skills in C++ or Python
An excellent communicator with the ability to write technical documents
Eager to assess the deficiencies in derivatives valuation models and to apply that knowledge to product valuation.
Able to apply technical understanding to practical problems
Result-oriented and assertive (you don't shy away from challenging situations)
What we offer Together. That's how we do things. We offer people around the world a supportive, challenging and diverse working environment. We value your passion and commitment, and reward your performance.
Keen to achieve the work-life agility that you desire? We're open to discussing how this could work for you (and us).
Take the next step Are you truly collaborative? Succeeding at UBS means respecting, understanding and trusting colleagues and clients. Challenging others and being challenged in return. Being passionate about what you do. Driving yourself forward, always wanting to do things the right way. Does that sound like you? Then you have the right stuff to join us. Apply now.
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?