Quantitative Analyst, Counterparty Credit Risk Models

London, United Kingdom
09 Dec 2022
14 Dec 2022
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Your role
Do you have a proven record of driving lasting business impact by developing state-of-the-art quantitative models, applications and strategies? Are you an expert of the market, client needs and best practice application of trading, investment, and risk processes?

At UBS, we re-imagine the way we work, the way we connect with each other - our colleagues, clients and partners - and the way we deliver value. Being agile will make us more responsive, more adaptable, and ultimately more innovative.

We're looking for a Quantitative Analyst to:
• develop and maintain the counterparty credit risk exposure models
• analyse and document model performance and confirmation tests
• write and maintain production code including release / deployment into production environment. Your team
You'll be working in the Counterparty Credit Risk Models Crew within the Risk Methodology department in London.

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.
Diversity helps us grow, together. That's why we are committed to fostering and advancing diversity, equity, and inclusion. It strengthens our business and brings value to our clients.

Your expertise
• a university degree (MSc or PhD) in Computer Science, Mathematics, Physics or in a numerical discipline
• prior working experience (3+years) in the financial services industry (preferably in a quant developer role). Exposure to derivative pricing models and Monte Carlo simulations (preferably across a range of asset classes) is a plus.
• programming skills in Python and C++. Proficiency in Java, C#, JavaScript (front end), Scala is an advantage.
• working understanding of Cloud concepts and development in Cloud framework.
• maintenance of dev pipeline (GitLab, TeamCity, Jira, Docker, Protocol buffer, etc)
• experience in working with big data sets (SQL/NoSQL databases)
• organized and diligent in writing transparent code
• 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
UBS is the world's largest and only truly global wealth manager. We operate through four business divisions: Global Wealth Management, Personal & Corporate Banking, Asset Management and the Investment Bank. Our global reach and the breadth of our expertise set us apart from our competitors.

With more than 70,000 employees, we have a presence in all major financial centers in more than 50 countries. Do you want to be one of us?

Join us
At UBS, we embrace flexible ways of working when the role permits. We offer different working arrangements like part-time, job-sharing and hybrid (office and home) working. Our purpose-led culture and global infrastructure help us connect, collaborate, and work together in agile ways to meet all our business needs.

From gaining new experiences in different roles to acquiring fresh knowledge and skills, we know that great work is never done alone. We know that it's our people, with their unique backgrounds, skills, experience levels and interests, who drive our ongoing success. Together we're more than ourselves. Ready to be part of #teamUBS and make an impact?

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.
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