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Does calibrating complex models to the real market and practical derivative pricing excite you? Are you an innovative thinker? We're looking for someone like that who can:
lead the independent review of the FO model marking and calibration to the observable market as well as its pricing of exotics products,
identify potential model vs market basis and develop the associated model fair value adjustment and uncertainty reserve methodologies
develop the control methodologies for independent price testing, consensus data submission and prudential valuation
work closely with front office trading and quants, market risk control and valuation control
You'll be working in the Valuation Methodologies team focusing on FX derivatives. As part of Group Risk Control, the main objective of the team is to control the model vs market basis risk, including testing the valuation models' calibration to the market and its pricing of the exotic products, as well as the ongoing development of associated valuation methodologies
- sufficient relevant working experience in a similar quantitative role – MSc or PhD in a quantitative discipline – good knowledge of mathematical finance and its practical use for derivative pricing – experience in testing the model calibration to the market, and development of the associated control methodologies for IPV, reserving and prudential valuation – proficiency in using Python or C++ is preferred – excellent written and interpersonal communication skills (methodical, concise and accurate) – motivated to drive strategical initiatives, while keeping a strong attention to details – able to apply technical understanding to practical problems – willing to collaborate and share knowledge with your team
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?
We're a truly global, collaborative and friendly group of people. Having a diverse, inclusive and respectful workplace is important to us. And we support your career development, internal mobility and work-life balance. If this sounds interesting, apply now.
Disclaimer / Policy Statements
UBS is an Equal Opportunity Employer. We respect and seek to empower each individual and support the diverse cultures, perspectives, skills and experiences within our workforce.