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Quantitative Analyst, Bespoke

2 months ago

mumbai, India UBS Full time
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:
• participate in the development of models for credit parameters such as probability of Default (PD) and loss given default (LGD) used in regulatory capital calculations and stress testing
• research, develop, prototype, and implement new modelling, calculation, and reporting approaches in a continuous improvement cycle; this includes choosing statistical approaches, calibrating model parameters, addressing validation feedback and approachingernancemittees for approvals
• assess model performance by defining and performing quantitative / statistical tests and investigate mitigating actions as necessary
• liaise internally with risk managers, including explaining model outputs, performing portfolio analysis, and answer technical or background questions on the models and requirements
• produce high quality quantitative and statistical analyses to support discussions with regulators and senior stakeholders internally
Your team
You'll be working in the Credit Corporate Risk Models Stream within Bespoke & Expert Based Corporate Credit Risk Models team in Mumbai, India. We are responsible for developing, maintaining, and documenting models used to estimate credit risk. These activities involve frequent interaction with several significant stakeholders such as front office, credit risk management, financial accounting as well as auditors and regulators.
Your expertise
• strong experience/knowledge in at least some of the following areas: IRB PD/LGD and/or Issuer Risk modelling, credit risk stress testing models for scenario losses, regulatory framework and rules (, BASEL, CCAR etc.), statistical analysis, strong quant skills and aptitude
• experience of PD/LGD/Issuer Risk models would be an asset; experience in Basel II/III / stress-testing would be advantageous
• advanced degree in finance, mathematics, econometrics, engineering or another quantitative subject
• good programming skills (R, Python, Excel)
• goodmunication skills (oral and written): Ability tomunicate logically and precisely, including writing technical model documentations
• quick learner, flexibility to adapt to change, and produce consistently high-quality analysis backed by data and sound judgment
• exposure to the latest in credit risk modelling and regulatory requirements across regulators and business / geographies
*#LI-SS1
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 294798BR

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