Economic and Credit Risk Modelling Specialist

4 weeks ago

mumbai, India UBS Full time
Your role
Are you interested in quantitative risk modelling and knowledgeable of statistical, mathematical and econometrical models used in the financial industry? Are you an innovative thinker who likes to challenge the status quo and apply new analytical techniques to solve quantitative problems?
We're looking for an economic and credit risk modelling specialist to:
Develop and maintain both regulatory capital relevant ( probability of default (PD)) and macro-economic forecasting models in line with international regulatory and accounting requirements
Support and ensurepliance with ongoing and new regulatory initiatives to manage our risk US CECL, CCAR/DFAST, IFRS9, Basel IV and other support regulatory exercises
Bring Innovation to the team in the development, refinement and implementation of risk models
Perform and document model performance and confirmation analysis
Your team
You will be working in Credit Risk Methodology in Mumbai, India which is part of the group-wide Risk Methodology department. The team has members in the US, Switzerland, Poland and India. Our role is to develop, refine, implement and maintain mathematical, statistical and stress testing models to measure credit risk of UBS's US Mortgage portfolios for regulatory and business steering purposes. The sub-team in which you'll be working focusses on developing and maintaining regulatory capital ( PD, LGD), stress testing and provisioning ( IFRS9, CECL) models. We interact with several departments across the bank including Credit Officers & Portfolio Underwriters, Front Office, Finance, IT, Independent Validation Unit and Audit on a regular basis. For the development of our methodologies, we use techniques from quantitative risk management, financial mathematics and econometrics. Models are both developed and implemented by the team using Python and R.
Your expertise
Master's or PhD degree in a quantitative discipline ( Financial Engineering, Economics, Finance, Econometrics, Mathematics, Statistics)
Coding skills with statistical modelling software such as Python or R
Experience with very large data sets / big data is a plus including sound knowledge
Prior work experience in risk or finance environment is beneficial
Familiarity of credit risk modelling ( PD, EAD/CCF, LGD, A-IRB, IFRS9/CECL)
Fluent in English, both verbal and written form
About us
UBS is the world's largest and the 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 ourpetitors..
We have a presence in all major financial centers in more than 50 countries.
How we hire
We may request you toplete one or more assessments during the application process. Learn more
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? Job ID 294246BR

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