UBS - Risk Modelling Role

Job Location: Mumbai (Airoli)

Your role

Do you understand investment banking products and have a background in statistics? Have you worked on regulatory projects such as CCAR, LPA, ICAAP, etc.? Are you interested in the methodologies related to stress testing of market risk? We- re looking for someone like that to:

- Work with timeseries modelling

- Work with pricing methodologies for IB vanilla and exotic products

- Develop quantitative methodologies to stress MTMs and forecast market risk losses / RWAs over a scenario horizon

- Develop prototypes or automated processes for stress testing

- Work with independent validation team to establish approved stress testing methodologies

- Assist with operation of risk processes (including regulatory submissions)

- Make sure regulatory requirements and requests are dealt with in a disciplined, timely and efficient manner

Your team

You- ll be working in the 'Market Risk (Stress) Methodologies' team in Mumbai. We are focused on developing models on stress testing Value-at-Risk (VaR) and losses on market risk of the firm's trading portfolio. We also maintain the market risk stress infrastructure and respond to business and regulator's queries on market risk stress testing.

Your experience and skills

You have:

- A university degree in finance, economics, maths or statistics

- Several years of experience in the industry and working on concepts of statistics and time series modelling

- Understanding of the pricing principles of financial products. It will be an advantage if you have build pricing models for financial products.

- Strong analytical skills and deep inclination in learning / development of additional skills

- Coding expertise in R & Python

You are:

- Able to respond quickly to notifications from stakeholders

- A great communicator (and you know how to handle challenging situations including explaining complex algorithms in layman terms)

- Team-orientated, while able to complete tasks independently

- Follow a systematic and structured approach

- Able to develop prototypes and automated processes

- Document the approach / processes