Market Risk Model Validation Quantitative Analyst

Your role

We are looking for a Quantitative Risk Specialist in MRMC Market risk model validation team in India to perform:

Independent validation of market risk models in line with the UBS model governance policy and regulatory requirements. Key responsibilities include

• Assess the models conceptual soundness and methodology
• Check the appropriateness/quality of input data used for model development, review appropriateness of model parameters, accuracy of the model calibration etc.
• Review model outcome, impacts, or develop alternate benchmark approaches to challenge model outputs (as appropriate)
• Assess model risk, providing effective challenge to model assumptions and evaluate model limitations
• Write comprehensive validation reports, documenting the assessments to required standards
• Collaborate effectively with stakeholders globally to understand / challenge potential model risks; communicate validation findings to relevant stakeholders
• Support ongoing review of model performance and model change reviews to ensure models remain fit for purpose
  
  

Job Type

Full Time

Job Reference #

331240BR

City

Mumbai

Your team

You’ll be working in the Market Risk team of Model Risk Management & Control (MRMC) function. The team is present in Zurich, Mumbai, Hyderabad and Pune locations. Our team is responsible for the independent validation of all Market risk models used within UBS for Pillar 1 / Pillar 2 regulatory purposes as well as for internal risk management purposes. The model universe covers VaR models (and its sub-components covering EQ, IR, CR, FX and CM asset classes), Risks not in VaR, Market risk stress loss models, stress RWA projection models, FRTB/CVA SA calculators etc.

Your expertise

You have:

• Masters degree in financial mathematics, financial engineering, statistics, or a related quantitative field
• Proven experience in Market risk, risk modeling or model validation.
• Strong coding skills and ability to apply quantitative techniques to solve practical problems
• Understanding of financial products and their market risk exposures/ risk sensitivities, financial markets, regulatory landscape.
• Very good communication skills and the ability to explain technical topics clearly and intuitively, both written and orally
  
  

You are:

• Proficient in programming languages such as R/python
• Fluent in English - oral as well as written
• Team-oriented, while being able to motivate and organize yourself and complete tasks independently to high quality standards
  
  

About Us
UBS is a leading and truly global wealth manager and the leading universal bank in Switzerland. We also provide diversified asset management solutions and focused investment banking capabilities. Headquartered in Zurich, Switzerland, UBS is present in more than 50 markets around the globe.

We know that great work is never done alone. That’s why we place collaboration at the heart of everything we do. Because together, we’re more than ourselves. Want to find out more? Visit ubs.com/careers.

Join us

At UBS, we know that its our people, with their diverse skills, experiences and backgrounds, who drive our ongoing success. We’re dedicated to our craft and passionate about putting our people first, with new challenges, a supportive team, opportunities to grow and flexible working options when possible. Our inclusive culture brings out the best in our employees, wherever they are on their career journey. And we use artificial intelligence (AI) to work smarter and more efficiently. We also recognize that great work is never done alone. That’s why collaboration is at the heart of everything we do. Because together, we’re more than ourselves.

We’re committed to disability inclusion and if you need reasonable accommodation/adjustments throughout our recruitment process, you can always contact us.

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.

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