Praca Quantitative Risk Specialist – Valuation Models (Rates and FX) Kraków UBS

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Opis oferty pracy:
Quantitative Risk Specialist – Valuation Models (Rates and FX) Work location: Kraków Do you have an analytic mind? Do you enjoy solving quantitative problems? We are looking for someone like that to: • Engineer independent price testing methodologies for new products and perform on-going review of existing ones • Review and develop calibration routines and test model input parameters • Assess Model Product Combinations (MPCs) from a valuation perspective, check the appropriateness of the valuation approach applied in the MPCs • Evaluate new model and analytics changes proposed by the business • Review and develop model fair value adjustments and liquidity adjustments and evaluate Front Office proposals for marking methodologies and valuation adjustments for MPCs • Provide support to the global Valuation Methodologies team in the authorization and approval of complex trades Your team: You will be working in Valuation Methodologies (VM) team in the Model Risk Management and Control (MRMC) group. Our main responsibilities are the 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 within MRMC and Risk, Front Office (FO) trading desks, FO Quantitative Analytics team, Finance group (IPV and Finance Control). The position is within the Rates & FX VM team in the Green Office (Kraków). We have a global coverage and are based in 2 locations: London and Krakow. Your experience and skills: You have: • Master or PhD degree in a quantitative discipline, such as mathematics, physics or a related technical field • Strong Analytical ability • Good working knowledge of Interest Rate and FX derivative products and models • Experience with Excel/VBA and ideally good programming skills in Python, R and/or C/C++ You are: • An excellent communicator with the ability to write technical documents in English • Able to work in close collaboration with other teams throughout the business • Are comfortable with quantitative models, ideally from a product valuation perspective • Experienced in product valuation and Independent Price Verification (IPV) 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: Together. That’s how we do things. We offer talented people around the world a supportive, stimulating and diverse working environment. We’ll value your passion and commitment. And reward your performance. Why UBS? 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: 2016-09-13

Nazwa stanowiska:
Quantitative Risk Specialist – Valuation Models (Rates and FX)

Państwo: Polska

Województwo: małopolskie

Powiat: m. Kraków

Miejscowość: Kraków

APLIKUJ

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