PQA Quant

  • Competitive
  • 上海, 上海市, 中国
  • 正式员工, 全职
  • UBS AG
  • 24 Feb 18


Job Type
Full Time

Your role
Do Credit risk and Modelling excite you? Are you an innovative thinker? We’re looking for someone like that who can:
- Develop on-going model performance monitoring framework and provide regular reporting
- Support business and risk control functions in their requirements for XVA, RWA computation, Upfront Credit Charges (UFC). Assist Credit Risk Control to compute counterparty credit exposure (EPE, PFE).
- Develop new models to compute CVA, RWA, and XVA
- Develop quantitative platforms to support Uncleared Derivatives/Stress/Basel3 requirements
- Develop applications and models to support on-going regulatory demands

About us
Expert advice. Wealth management. Investment banking. Asset management. Retail banking in Switzerland. And all the support functions. That's what we do. And we do it for private and institutional clients as well as corporations around the world.

We are about 60,000 employees in all major financial centers, in more than 50 countries. Do you want to be one of us?

Your team
The Shanghai Quantitative Analytics Group of UBS is an entrepreneurial, cross-asset team focusing on building the market-leading analytics across all asset classes and provides comprehensive quantitative analysis support to all business units throughout the Investment Bank in all regions. The Portfolio Quant Analytics team is a front office quant team whose responsibility is to design, develop, and implement models to compute, price and hedge Counterparty Credit Exposure (CVA), Capital (RWA, KVA), and Cost of Funding (FVA) for OTC and ETD transactions across all asset classes. The team covers also optimization of collateral, computation of Initial Margin for Uncleared derivatives (SIMM methodology). An essential part of the team responsibilities is the development of tools to help the business pricing XVA for new portfolios of transactions.

Your experience and skills
You have:
- Masters / Phd or equivalent in Finance, Physics, Mathematics, Computer Science, Engineering, or related field plus pre- or post-doctorate experience in the job offered or related occupation.
- Experience in implementing mathematical models in front office systems; supporting trading desk in risk assessment and product pricing;
- Programming using C++, C# (or other object oriented language) under Windows.
- Good communication and interpersonal skills
- Capability of documenting any model development in a clear way

What we offer
Together. That’s how we do things. We offer people around the world a supportive, challenging and diverse working environment. We value your passion and commitment, and reward your performance.

Keen to achieve the work-life agility that you desire? We're open to discussing how this could work for you (and us).

Take the next step
Are you truly collaborative? Succeeding at UBS means respecting, understanding and trusting colleagues and clients. Challenging others and being challenged in return. Being passionate about what you do. Driving yourself forward, always wanting to do things the right way. Does that sound like you? Then you have the right stuff to join us. Apply now.