Quantitative Risk Specialist - Treasury Model Validation

Are you an expert in analytics Are you an innovative thinker who likes to challenge the status quo Do you know how to work well within a team and deliver effective solutions We're looking for someone who is eager to perform independent validation of models used in the bank s Treasury function by
- analysing the model's conceptual and mathematical soundness
- assessing the model's implementation, developing quantitative benchmark analyses
- scrutinizing input data, model assumptions and parameters, expert adjustments
- reviewing the calibration quality, model outcome, and model performance tests
- identifying model weaknesses and limitations and evaluating overall model risk
- documenting the assessment in LaTeX for internal as well as regulatory purposes
- interacting with stakeholders: model developers and users, senior management, internal and external audit and regulators, as a representative of the bank s independent control function for model risk

Your team

You ll be working in the Model Risk Management & Control team in Mumbai. Our team is responsible for the independent validation of risk models used within UBS, in particular Treasury risk models covering aspects of liquidity and funding risk of the balance sheet, and interest rate risk in the banking book, including stress testing applications.

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You have:
- a masters or a PhD degree in mathematics, statistics, physics, engineering, financial mathematics, quantitative economics or a related quantitative field
- knowledge of financial markets and products, experience and strong interest in the financial services industry, preferably in risk management or model risk management practices
- good coding skills in R/Python
- Strong documentation skills
You are:
- curious and eager to engage in emerging areas of financial modelling
- able to explain technical concepts in simple, intuitive terms to facilitate collaboration
- co-operative and team-oriented, while being able to motivate and organize yourself and complete tasks also independently to high quality standards
- fluent in English, oral and written