Your role:
Are you interested in quantitative risk modelling and knowledgeable of statistical, mathematical and econometrical models used in the financial industry? Are you an innovative thinker who likes to challenge the status quo and apply new analytical techniques to solve quantitative problems?
At UBS, we re-imagine the way we work, the way we connect with each other – our colleagues, clients and partners – and the way we deliver value. Being agile will make us more responsive, more adaptable, and ultimately more innovative.
We’re looking for a Senior Quantitative Risk Modeler to:
- Lead an international team of quantitative analysts with the mandate to develop and maintain Pillar 1 IRB Credit Risk models (PD, LGD, Slotting), including conceptual development, data analysis, prototype coding, documentation and support in the interaction with regulatory and audit stakeholders
- Assess model performance by defining and performing quantitative tests and investigating potential gaps
- Act as the main Risk Modeling SME and point of contact with stakeholders in the APAC region to ensure that the models are correctly used and that they reflect the views of subject matter experts in the region.
- Collaborate with other quantitative analysts to share insights and work closely with cross-functional team members to ensure the correct implementation of models in productive environments
- Ensure escalation and disclosure of any information of which applicable regulators would reasonably expect notice
Your team:
You’ll be working in the Corporates, Specialized Lending and Sovereign Credit Risk Models Crew as a member of the Specialized Lending team in Singapore focusing on the development of Pillar 1 Credit Risk models for Specialized Lending products. We’re an international team with members in Switzerland, Poland and the US with a diverse mix of seniorities and backgrounds.
Your expertise:
- 5+ years of quant modelling experience within the finance sector, with strong know-how in advanced Credit Risk modeling concepts (Pillar 1, stress testing)
- A solid understanding of the Basel regulatory framework and its interpretation by the Swiss regulator FINMA
- Previous exposure to the Credit Risk landscape within a Wealth Management function in the APAC region
- Strong experience in low-default and bespoke portfolios
- Proficient in SQL, R and Python
- Self-driven, organized and detail-oriented with a solid understanding of banking industry
- Master’s/PhD degree or equivalent in a quantitative field (mathematics, statistics, physics, computer science or engineering etc.)
