Praca Quantitative Risk Specialist – Valuation Methodologies Kraków UBS

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Opis oferty pracy:
Quantitative Risk Specialist – Valuation Methodologies Work location: Kraków Do you have an analytic mind? Are you an expert in quantitative disciplines? We are looking for someone like that to: • Review and develop IPV methodologies and tools and provide technical assistance to the IPV and finance control teams from Finance • Review, develop and execute complex calibration routines that drive model deficiency valuation adjustments and test model input parameter globally • Review Model Product Combinations from valuation perspective, assess the appropriateness of the valuation approach applied in MPC and perform model calibrations and valuation adjustments (the role covers vanilla and exotic products, i.e. various types of Barrier Options, Volatility Derivatives, Structured Cliquets, Autocallables, Volatility Target Options, CPPIs, etc.) • Assess new model and analytics implementations and review model and analytics changes • Review and develop model fair value adjustments and liquidity adjustments, review FO proposals for marking methodologies and valuation adjustments for MPCs, focusing on the appropriateness of market data and its use in the model calibration and valuation adjustment methodologies • Provide support to global VM team in authorisation and pre-trade approvals of complex transactions with new valuation models and reserves and assess booking approximations Your team: You will be working in Valuation Methodologies (VM) team in Model Risk Management and Control (MRMC) group. Our main responsibilities are governance and control of Independent Price Verification (IPV) Methodologies, Model and Product Combinations (MPC), Fair Valuation Adjustments (VA), Prudential Valuation Methodologies, Complex Transactions and Totem Submission Methodologies. Our team interacts on a daily basis with: other teams of MRMC and Risk, Front Office (FO) trading desks, FO Quantitative Analytics team, Finance group (IPV and Finance Control). The position is within the Equities & Commodities, VM team in Zabierzów (Kraków Business Park). We work with a global coverage and are based in 2 locations: London and Krakow. Your experience and skills: You have: • A very good educational background in quantitative fields at MSc or PhD level (e.g. Quantitative Finance, Mathematics, Physics, Engineering) • A knowledge and strong interest in learning derivatives pricing models and equity derivatives products • A good balance between the theoretical knowledge and practical approach • A dynamic and detail-orientated outlook with an ability to exercise good business judgment and provide effective challenge to models and their application to specific products • Skills in Excel/VBA and preferably good programming skills in languages like C++, Python or R You are: • An excellent communicator with ability to write complex technical documents • Able to assess derivatives valuation models from a product valuation perspective and ability to assess & quantify the uncertainties embedded in the product valuation. • Able to work in close & positive collaboration within VM, Finance, Risk & Front Office to address the various valuation issues About UBS: UBS is a leading global financial institution offering services in three main sectors: Wealth Management, Asset Management and Investment Banking. The UBS Kraków has provided services exclusively to UBS since it began operations in the first quarter of 2008. Our teams in Krakow collaborate across many UBS locations and business divisions working on projects with an international scope in finance, analytics, operations, risk, legal and compliance, IT, marketing and quality. What we offer: UBS offers talented individuals around the world a challenging, diverse and supportive working environment in which passion, commitment and hard work are valued and rewarded. Why UBS? Watch the video Please submit your application in English. You are kindly requested to include the following clause in your application: "Wyrażam zgodę na przetwarzanie moich danych osobowych zawartych w ofercie pracy dla potrzeb procesu rekrutacji zgodnie z ustawą z dnia 27.08.1997r. Dz. U. z 2002 r., Nr 101, poz. 923 ze zm."

Pracodawca: UBS

Data publikacji ogłoszenia: 2016-08-20

Nazwa stanowiska:
Quantitative Risk Specialist – Valuation Methodologies

Państwo: Polska

Województwo: małopolskie

Powiat: m. Kraków

Miejscowość: Kraków

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