Market and Counterparty Risk Models

India
- Risk
- Group Functions

**Job Reference #**
- 298716BR

**City**
- Mumbai

**Job Type**
- Full Time

**Your role**
- To build up and grow our risk quant capabilities in India, we offer positions in the Quantitative Risk Modelling team, responsible for the development and maintenance of comprehensive and consistent risk models for credit risk, market risk, liquidity risk, enterprise risk and stress testing areas, meeting both internal management and regulatory requirements.
- The responsibilities of the role are to:

- Develop Market Risk and Counterparty Risk VaR models ensuring theoretical soundness by employing advanced mathematical and statistical techniques.
- Demonstrate independence in testing design and execution, results interpretation and presentation, and production of robust documentation.
- Collaborate with colleagues across the world, and regularly engage with partners such as business, senior management, and regulators.
- Play a role in the documentation and review of risk capture, sensitivities and data assets used in model.
- Proactively seek solutions to improve material parts of the model; review and improve components; identify the relevant sources of risk and assess their capture.
- Ensure that models are adequately documented for both internal risk management and external (e.g. regulatory) capital purposes.
- Understand different VaR models and extreme move calculations to assess the impact of updates to counterparty risk models.
- Assist in preparing presentations for senior management covering change impacts, methodology features and capital implications.

**Your team**
- You'll be working in the Quantitative Risk Modelling team.

**Your expertise**
- Highly motivated and creative individuals who have demonstrated academic achievement, can work independently and as a member of a team. We’ll be looking at your potential, your ability, your academic background, and your extracurricular activities, focusing on:
- Degree in mathematics, physics, econometrics, statistics, or engineering is preferred. Professional qualification e.g., CFA, FRM, PRIMA would be an advantage.
- Good understanding of counterparty risk concepts, PFE calculations, back-testing, and Basel 3 final regulatory text
- Proficient in Counterparty Risk Systems - INSIGHT and SBT
- Outstanding analytical and problem-solving skills, and knowledge of risk management concepts and techniques such as VaR, Stressed VaR, regression and time series modelling.
- Proficiency in at least one programming language, such as C++, C#, Python, R.
- Good MS Excel/Access/SQL and VBA knowledge.
- Solid documentation and business writing skills.
- Willingness to question and challenge the status quo and ability to provide alternative views.

**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 our competitors..
- We have a presence in all major financial centers in more than 50 countries.

**How we hire**

**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?

**Contact Details**
- UBS Business Solutions SA
- UBS Recruiting

**Disclaimer / Policy Statements**
- UBS is an Equal Opportunity Employer. We respect and seek to empower each individual and support the diverse cultures, perspectives, skills and experiences within our workforce.