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Quantitative Risk Modeler

Your role
 
Are you an expert in quantitative modelling? Are you an innovative thinker who likes to challenge the status quo? Are you an engaged and motivated personality who likes to understand the big picture? Do you enjoy working in a highly specialized team to develop and deliver solutions? Then we are looking for someone like that to:
• Develop risk models for various risk types for aggregation purposes
• Code risk models
• Perform impact analysis
• Perform and document model performance and confirmation tests
 
 
Your team

 
You will be working in Risk Modeling Team in Zabierzów (Krakow Business Park). We develop, refine, implement, and maintain mathematical and statistical models to measure all material risks across UBS to assess our capital requirements, comprising models for individual risk types (including market, credit, issuer, investment, funding, operational, pension, business risk etc.), as well as methodologies to aggregate risks. For the development of our methodologies, we use techniques from quantitative risk management, financial mathematics and econometrics. Models are implemented mainly in R, before being embedded into the productive risk infrastructure.

We are offering of part time working (50-100%) in the team.
 
Your experience and skills
 
You have:

• a Master's or PhD degree in a quantitative discipline (e.g. Mathematics, Statistics, Econometrics, Financial Engineering, Economics, Finance)
• excellent coding skills preferably in R/Matlab
• sound knowledge of statistical and econometric methods and their application
• strong analytical, conceptual and organizational skills
• experience with handling large datasets is a plus
• outstanding conceptual and analytical capabilities combined with very good interpersonal and communication skills

You are:

• Experienced in risk methodology
• Fluent in English
• Experienced in writing documentation of complex statistical methodologies
• able to deliver high quality results in a fast pace environment with tight deadline