Quantitative Analyst

Overview

Does complex modelling excite you? Are you an innovative thinker? Do you want to become an integral part of our team to build out and evolve our XVA/SIMM (Standard Initial Margin Model) and Capital pricing and optimization capabilities?

Responsibilities

• work on the next generation cross-asset distributed valuation and risk engine for the calculation of XVA measures, Risk, PnL, PnL Predict, SIMM, Allocation, Capital exposure and capital optimization, strengthening the analytics and the technical platform
• work with traders and risk managers to define and implement pricing and risk capabilities
• deliver high-quality working software translated from business and quant driven requirements
• partner with core IT functions to align and integrate pricing capabilities with existing pricing systems and Capital Exposure calculation engine

Qualifications

• Strong academic background in a quantitative field with knowledge of stochastic calculus (mathematics, physics, engineering, etc.)
• Knowledge of derivatives pricing, models and risk management in any asset class (e.g. rates, fx,..)
• Experience with OO programming languages (e.g. C++/C#)
• An understanding of financial products and markets is preferable
• Ability to manage projects and numerous stakeholders

Job Details

Job Type: Full Time
Job Reference #: 332383BR
City: London

Your team

You will be working in the Front Office Portfolio Quantitative Analytics team in London. We provide pricing and exposure models, analytics and tools to traders and risk managers globally. We cover traditional XVAs and Capital e.g. CVA, FVA, IMM model for Credit RWA, together with SIMM.

About UBS

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.

Join us

At UBS, we know that it's 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. 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.

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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