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Would you like to become an expert in counterparty risk management? Are you an innovative thinker who likes to challenge the status quo? We're looking for someone like that to: – develop and maintain credit risk exposure models used for risk management, setting capital requirements, stress testing and expected loss calculations – analyze and document model performance and confirmation tests – make sure regulatory requirements and requests are dealt with in a disciplined, timely and efficient manner – stay up to date on regulatory changes and trends – check that material issues are escalated to the relevant control functions and that reputation concerns are escalated to senior management
You'll be working in the Exposure Risk Measurement team within the Risk Methodology department in Zabierzów (Krakow Business Park).
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. Last but not least, as owners of the Risk Exposure models, we also need to ensure the calculations meet the required regulatory standards.
Your experience and skills
You have: – a university degree (Msc or PhD) in finance, mathematics, science or in a numerical discipline – prior working experience (3+ years) in the financial services industry, including exposure to derivative pricing models (preferably across a range of asset classes) – strong analytical skills and the ability to apply techniques from numerical analysis, statistics and financial mathematics to solve practical problems – working experience with high-level programming language (C#,C++), and knowledge of statistical modeling software (e.g. Rstudio, SAS, SQL) is desirable
You are: – pro-active in taking new initiatives and carrying them through completions a great communicator (and you know how to handle challenging situations) – 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