UBS Business Solutions US LLC is seeking an Associate Director, Quant Analyst to create, develop, implement and maintain methodologies for internal and regulatory stress scenario design and expansion for UBS.
Requirements
- Financial derivatives including options, swaps, and bonds; Cross-asset dynamics
- Building models from scratch including time series analysis, linear/non-linear models, Gaussian/non-Gaussian models, and parametric/non-parametric models
- Statistical and econometric methods and their application; Programming with statistical software including Python and R
- High frequency/volatility models; Statistical tools including Monte-Carlo, Bootstrap, Stationarity, Co-integration, Regression, Goodness of fit, Out-of-sample, Null hypothesis, P-value, Risk-neutral, Autoregressive, Quantiles, and Density function
- Knowledge may be gained through graduate-level coursework, research, or teaching experience.
Responsibilities
- Create, develop, implement and maintain methodologies for internal and regulatory stress scenario design and expansion for UBS.
- Develop and maintain models that are used to expand scenarios with a few risk factors into scenarios with a large universe of risk factors consistent with the scenario narrative.
- Develop and maintain scenario translation and expansion tools and models that are used in market and macro-economic stress scenarios, assessing the firm’s profitability and capital adequacy.
- Use techniques from quantitative risk management, statistics, financial econometrics and macro econometrics to develop, assess, and change models and interpret regulatory input.
- Implement models in R/Python and produce clear and detailed documentation for regulators across the globe.
- Bring new quantitative modeling ideas to the team to push ahead key projects within the bank.
- Assist with the organization and the structure of the JIRA backlog and facilitate Agile meetings.
Other
- Are you an innovative thinker?
- Are you focused on the details, even when under pressure?
- Do you enjoy delivering enhanced change capabilities across a range of business functions?
- Can work hybrid (In-office/remote).
- This position requires a Master’s degree or foreign equivalent in Financial Engineering, Econometrics, Economics, or a related field of study.
