Credit Risk Model Validation Quantitative Analyst

Your role

Are you an expert in analytics? Are you an innovative thinker who likes to challenge the status quo? Do you know how to work well within a team and deliver effective solutions? We're looking for someone like that to carry out independent validation of models used in the UBS corporate credit risk area, by

• assessing the model's conceptual soundness and methodology
• checking appropriateness of input data, model assumptions and parameters, calibration accuracy as well as of qualitative or expert adjustments, etc.
• reviewing outcome, impact, performing benchmark and robustness analyses
• identifying model limitations and evaluating overall model risk
• documenting the assessment to required standards
• interacting and collaborating with stakeholders such as model developers, users, model governance representatives in order to safeguard the quality of our model risk management framework

Your team

You'll be working in the Corporate Credit Risk Model Validation team within MRMC India. We are a team of 25 people, located in Zurich, Mumbai, and Pune. The team is responsible for the independent validation of the Corporate Credit Risk models used for various regulatory and internal purpose e.g., Pillar-1, Pillar-2, IFRS-9, internal credit risk controls etc.

Your expertise

• a MSc degree in quantitative Finance, Mathematics, Statistics, or quantitative Economics;
• 5+ years of working experiences in model validation or model development, preferably in a bank or a consulting firm
• knowledge of financial markets and products, strong interest in the financial services industry, preferably in risk management.
• knowledge and experiences in statistical and economic modeling techniques, ie. Linear regression, logistic regression, Probit Regression, time series, error correction model etc.
• Experience in low default portfolio modelling/ validation would be preferred.
• strong coding skills in R, Python, or similar
• excellent analytical skills
• curiosity and a thirst for innovation
• fluent in English, oral and written
• a team player with strong interpersonal skills
• motivated, well organized and able to complete tasks independently to high quality standards