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Requirement for Quantitative Analyst, Counterparty Credit Risk Models

3.00 to 4.00 Years   Mumbai City   12 Jul, 2023
UBS Securities India Private Limited
Job LocationMumbai City
EducationNot Mentioned
SalaryNot Disclosed
IndustryBanking / Financial Services
Functional AreaGeneral / Other Software
EmploymentTypeFull-time

Job Description

    Do you have a proven record of driving lasting business impact by developing state-of-the-art quantitative models, applications and strategies Are you an expert of the market, client needs and best practice application of trading, investment, and risk processes 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 Quantitative Analyst to: develop and maintain the counterparty credit risk exposure models analyse and document model performance and confirmation tests write code to production standards (potential involvement in release/deployment into production environment)Your teamYou ll be working in the Counterparty Credit Risk Models Crew within the Risk Methodology department in Mumbai, India. We develop and maintain the credit exposure measurement capabilities of the Investment Banking division within the UBS Group. The quantitative methods we use are closely related to sophisticated derivative pricing models. You will have the opportunity to coordinate and become the main global contact for the improvement of methodologies, processes and parameterization of our credit exposure measures for the banking and trading book (covering credit facilities, derivatives and securities financing transactions). As a client of the Front Office exposure calculation engines, you will also be responsible for ensuring the Risk Control requirements for capturing risk are delivered correctly. Diversity helps us grow, together. That s why we are committed to fostering and advancing diversity, equity, and inclusion. It strengthens our business and brings value to our clients., a university degree (MSc or PhD) in Computer Science, Mathematics, Physics or in a numerical discipline prior working experience (3+years) in the financial services industry (preferably in a quant developer role); exposure to derivative pricing models and Monte Carlo simulations (preferably across a range of asset classes) is a plus programming skills in Python; proficiency in C++, Java or C# is an advantage experience in working with big data sets (SQL/NoSQL databases) having finance or risk certifications (FRM, CFA, CQF, etc.) are good to have organized and diligent in writing transparent code team-orientated, while able to complete tasks independently able to explain technical topics clearly and intuitively to a non-technical audience fluent in English, both in oral and written form*#LI-SS1

Keyskills :
analyticscustomer relationshippricingadvertisingbankingbig datacredit riskfront officerisk controlcomputer scienceinvestment banking

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