Our Client is an Investment Bank.
The role is as follows-
Develop methodologies to determine lending values for all products in our Lombard portfolio for UBS Group
• use techniques from quantitative risk management, financial mathematics and econometrics to develop and change existing lending value risk models.
• bring innovation to the Risk Methodology Group in the development, refinement and implementation of risk models
• implement prototype models in R, Python, C++ or SAS, before being embedded into the productive risk infrastructure
Master’s or PhD degree in an applied quantitative discipline (e.g. Econometrics, Statistics, Financial Engineering, Economics, Finance)
• ideally 1-2 years’ of experience in credit risk modelling or other areas of risk methodology and/or model development
• sound knowledge of statistical and econometric methods and their application
• strong IT / programming skills. Previous experience and ability to implement models in a programming language (e.g., R, Python, C++) is essential and experience with handling large datasets is a plus
• strong analytical, conceptual and organizational skills with the ability to work under tight deadlines
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