Quant Analyst

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 stress models for traded products (Derivatives and SFTs) in line with regulatory requirements and models used for internal monitoring used by the Credit Officers
• engage with internal and external stakeholders at all levels in the organization, including audit and regulators
• develop prototype codes that will be used in productive systems
• interact with Risk and Finance expert functions as well as business representatives across the globe to deliver efficient and regulatory compliant solutions
• collaborate with other quantitative analysts to share insights and develop global analysis frameworks and work closely with cross-functional team members to improve our product/models continuously.
• ensure adherence to applicable regulations and internal policies via effective supervision and oversight with reference to the Principles of Good Supervision when supervising other members of staff
• understand, represent, and advocate for client needs

Your team

You will be working in the Pillar 2 Counterparty Credit Risk Models Crew in Krakow or Mumbai. Crew members are located in Poland, India, Zurich and London. We develop and maintain the stress credit exposure models of the IB division.

Your expertise

• A sound understanding of asset pricing and/or SFT, OTC and ETD transactions across all major asset classes is a plus
• strong analytical skills and the ability to apply techniques from numerical analysis, statistics and financial mathematics to solve practical problems
• experience within the finance sector, ideally utilizing stochastic calculus is a plus
• experience with Python and R. Knowledge of SPARK and Databricks is an advantage.
• capable of documenting any model development in a clear way
• self-driven, organized and detail-oriented with a solid understanding of banking industry
• MS or PhD degree or equivalent in mathematics, statistics, physics, computer science, engineering, quantitative finance or econometrics