Market Risk Analyst

Job description

Description

Market Risk Analyst

Job Summary
We are looking for a Quantitative Analyst to join the Market Risk Methodology team at UBS. In this role you will be responsible for developing and improving various stress testing and forecasting models.
Description of Area
The Corporate Centre ensures that our business divisions operate as a coherent and effective whole by providing and managing support and control functions for the business divisions and the Group including risk management and control (including compliance), finance and legal. It also provides all logistics and support functions including operations, information technology, human resources, corporate development, regulatory relations and strategic initiatives, communications and branding, corporate real estate and administrative services, procurement, offshoring and treasury services such as funding, balance sheet and capital management.
Description of team
Market Risk Methodology is focussed on developing models on Value-at-Risk (VaR), stress testing and measurement platforms that quantify market risk of the firm's trading portfolio. This team offers a structured environment geared towards individual and team performance, and an open collaborative culture that values the contribution of every individual. Members of the team are expected to be personally accountable for the challenge to ensure UBS is at the leading edge in the development of stress testing models.
Responsibilities
• Develop and advance methodologies on stress testing of market risk metrics such as VaR, Stressed VaR, Risk Weighted Assets, etc. and keep abreast of regulatory requirements on market risk stress testing
• Engage in periodic production & review of stress testing outcomes
• Create documentation of high standards for internal and external distribution
• Contribute to analysis and responding to demands by internal & external stakeholders
• Collaborate closely with other teams (such as IT, Market risk control, Reporting, finance etc.) to ensure a timely and effective stress testing of market risk measures
Requirements
• Master's degree in a quantitative discipline (e.g. Financial Engineering, Mathematics, Statistics, Computer Science, Physics, Engineering, Operations Research)
• Strong coding skills in the statistical software R, querying languages such as SQL and documentation tools such as LaTex
• Competency in working with large data sets, time series analysis, statistical analysis, regression models etc.
• Strong communication skills and ability to explain technical topics to a varied audience
• Knowledge of market risk measures, investment banking products, regulations such as Basel / CRD / CCAR.

What we offer

UBS offers talented individuals around the world a challenging, diverse and supportive working environment in which passion, commitment and hard work are valued and rewarded.

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Take the next step

Fitting in at UBS means being passionate and motivated about what you do. If you like collaborating, are used to challenging others and being challenged in return, then you have the right attitude to thrive in our environment. Want to become part of our team? Apply now.

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.