CCR Modeling Specialist — Impactful Risk Analytics

UBS; Kraków; On-site; PLN 180,000 - 300,000; Full time

Job summary

UBS in Kraków is seeking an experienced risk modeller to develop and maintain Counterparty Credit Risk (CCR) models, covering IMM-based approaches for OTC, SFT, and ETD exposures. You will collaborate with risk experts globally to deliver compliant, efficient solutions for regulatory requirements.

The role requires a strong quantitative background, 3+ years in CCR modelling, and fluency in English. Interaction with regulators and cross-functional teams is expected in a dynamic, multinational

Qualifications

• A graduate or PhD / MA degree in a quantitative field such as Mathematics, Physics, Statistics or Econometrics.
• 3+ years of experience in quantitative risk modelling, ideally in Counterparty Credit Risk together with knowledge of regulatory practice.
• Sound knowledge of stochastic and statistical modelling and their application.
• Experience in communication with regulatory supervision including written documentation.
• A sound understanding of SFT, OTC and ETD transactions across all major asset classes.
• A very good understanding of financial markets and the banking business, in particular investment banking, as well as the regulatory landscape.
• Experience in model documentation and regulatory requirements for official submissions.
• Solid IT skills (Python, SQL, C#, C++, Java) and knowledge of statistical modelling software.
• Practical knowledge of risk modelling as well as experience working with large data sets.
• Curiosity to explore how AI can improve how we build, deliver, and optimize workflows.
• Excellent communication skills with colleagues at all levels in the organization.
• Experience with communicating complex subjects to diverse stakeholders.
• Fluent in English, both in oral and written form.

Responsibilities

• assume responsibility for the development and maintenance of Internal Models Method (IMM) based approaches for OTC, SFT and Exchange Traded Derivatives (ETD) exposures in line with regulatory requirements
• engage with risk expert functions as well as business representatives across the globe to deliver efficient and regulatory compliant solutions
• make sure regulatory requirements and requests are dealt with in a disciplined, timely and efficient manner
• assume interaction with regulators in the Basel 3f / CRR3 Pillar 1 context for UBS Group and UBS Europe SE
• support other key regulatory projects with impact on the Risk organization of the bank as required
• The team: You will be working in the Counterparty Credit Risk (CCR) Model Performance and CCR Pillar 1 modelling within the Trading Credit Risk Models team in Krakow and be an integral part of the group-wide UBS Quantitative Risk Methodology (QRM) team. Your primary role is to develop and maintain the Counterparty Credit Risk (CCR) models together with a magnitude of different expert functions across the UBS Group.

Skills

Python

SQL

C++

Java

Communication

English

Risk modeling

Quantitative analysis

Education

PhD or MA in quantitative field

Bachelor's degree in quantitative field

Tools

Python

SQL

C#

C++

Java

Statistical software

Job description

UBS in Kraków is seeking an experienced risk modeller to develop and maintain Counterparty Credit Risk (CCR) models, covering IMM-based approaches for OTC, SFT, and ETD exposures. You will collaborate with risk experts globally to deliver compliant, efficient solutions for regulatory requirements.

The role requires a strong quantitative background, 3+ years in CCR modelling, and fluency in English. Interaction with regulators and cross-functional teams is expected in a dynamic, multinational