Quantitative Risk Manager

UBS is a leading global financial services firm. Our Investment Bank is one of the world's top global investment banking and securities firms, providing a full spectrum of products to institutional and corporate clients, intermediaries, government and hedge funds worldwide. By combining your talent and our strengths, we can acheive great results.

We are a multi-national, middle-office, financial derivatives team of about 50 people based in four locations worldwide.

The team covers all aspects of model validation and trade approvals/reserves for FX, equity, energy and rates products, assessing both market and credit risks. With other teams, it also develops methodologies for aggregating market, credit and operational risks, to provide bank-wide risk analysis for senior management.

Our main programming tools are Excel, VBA, C++ and Java

We are looking for a quantitative risk analyst to join our equity team.

Primary areas of responsibility are
1. Detect, identify and quantify risks in the area of marking-to-market and risk management of model intensive products. Perform Product approval / certification of products and single trades. This involves among other things:
- Review new products with special emphasis on valuation and risk management.
- Detect misunderstood and/or understated risks.
- Identify mis-specified models, i.e. mathematically correct models which are not applicable to the given product and/or market. Quantify the error. Propose more adequate models.
- Highlight the potential of use of wrong or inconsistent input values for parameters, which are not readily quoted in the market (e.g. skew, correlation, etc.).
- Identify unnoticed market changes (e.g. new traded products) which affect current valuation/risk management methods.
- Change control of valuation models.
- Identify the use of mathematically flawed models, quantify error and propose solution.

2. Assist business unit control with the valuation of model-intensive trades and quantitative issues, in particular to specify valuation adjustments intended to capture the model or parameter uncertainty.

3. Work together with credit risk in order to propose adequate counterparty risk calculation measures for the particular product.

4. Perform general risk management functions in close co-operation with market risk: Assessment of positions with significant model risk or non-standard risks like e.g. correlation risk or volatility skew risk, business approvals for complex structures and other day-to-day activities.

This includes developing and maintaining methodologies/models.

Most projects contribute towards bank-wide standards for managing all risks associated with investment banking. The impact of results can be substantial depending on the quality of results, which are routinely passed on to senior management.

Basic Qualifications
- Bachelor's Degree

Preferred Qualifications
- Strong background in financial mathematics (derivatives models, probability theory, mathematics).
- A knack for solving analytical problems
- Ability to develop models in a timely manner.
- A good knowledge of financial markets / products in particular for the equity market
- Familiarity with Java, C++ or Visual Basic
- MA or MSc in mathematics/physics, PhD highly desirable.
- Excellent written and interpersonal communication skills. In particular, the ability to explain technical topics to a non-technical audience e.g. explain how a certain model works without using equations.
- The ability to adhere to tight deadlines.

We can offer you an exciting, fast-paced working environment, a culture of mutual respect and teamwork and the opportunity to play a vital role in our growth.

If you are attracted to joining an organization where every individual's contribution counts and where your talent will impact on our future, please apply for this position. It starts with you.

UBS is an equal opportunity employer. We respect and seek to empower each individual and the diverse cultures, perspectives, skills and experiences within our workforce.