Credit Risk Model Validation Quantitative Analyst

2 months ago

mumbai, India UBS Full time
Your role
Are you a quantitative analyst with hands-on working style and enthusiasm to ensure that models are fit for purpose? Do you enjoy challenging and improving the status quo? Are you a risk manager at heart with outstanding stakeholder management skills? Then we are looking for you
In your role as Credit Risk Model Validation Quantitative Analyst, you'll:
• challenge appropriateness of model assumptions, its calibration, and qualitative adjustments
• review model performance and develop benchmark models
• evaluate model risk, including identification of limitations and their assessment
• ensure timelypletion of validation activities and adherence to internal quality standards including accountability for the delivery of the final report
• managemunication with senior project stakeholders, including discussions of main validation oues and agreement of follow-up actions
Your team
You will be working in the Credit Risk models validation unit within the Group Chief Risk Officer organization. Our role is to understand and assess the risks associated with the use of Credit Risk models (and related) to determine Probability of Default, Loss given Default and Exposure at Default, for the purpose of regulatory capital (Pillar 1), stress testing, or impairment estimation, in line with internal policies and regulatory requirements.
Diversity helps us grow, together. That's why we aremitted to fostering and advancing diversity, equity, and inclusion. It strengthens our business and brings value to our clients.
Your expertise
• strong quantitative modelling skills, MSc or PhD degree in a quantitative field (, econometrics, financial economics, financial mathematics, statistics, engineering, physics, mathematics)
• high standards when ites to report writing in a structured and transparent way
• strongmunication skills and the ability to explain technical topics clearly and intuitively
• experience utilizing programming languages such as R or Python
• preferably knowledge of financial instruments and pricing methodologies, Monte Carlo-like simulation techniques and stress testing methods and financial regulations (, Basel Accords)
• able to manage/coordinate several projects in parallel and persistent in managing stakeholders and enforcing effective modelernance
• fluent in English, verbally and in writing
• a role model for other colleagues, who fosters our diverse and inclusive culture
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.
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 292708BR

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