Counterparty Credit Risk Modeling Specialist

UBS; Kraków; On-site; PLN 120,000 - 180,000; Full time

Job summary

UBS is seeking a quantitative risk modelling specialist in Kraków to develop and maintain IMM-based approaches for OTC, SFT, and ETD exposures. You will engage with risk experts worldwide to deliver efficient, regulatorily compliant solutions and interact with regulators on Basel 3f/CRR3 Pillar 1 contexts.

You should have 3+ years in quantitative risk modelling, strong IT skills (Python/SQL/C/C++, Java) and fluent English.

Qualifications

• Graduate/PhD in a quantitative field with strong analytical skills.
• At least 3+ years in quantitative risk modelling, with CCR knowledge.
• Experience communicating with regulators and preparing written documentation.
• Strong IT and data handling with Python, SQL and other languages.
• Fluent in English, oral and written.

Responsibilities

• Develop and maintain IMM-based approaches for OTC, SFT and ETD exposures.
• Collaborate with risk expert functions and global teams to deliver compliant solutions.
• Address regulatory requirements promptly and efficiently.
• Interact with regulators in Basel 3f / CRR3 Pillar 1 contexts for UBS.
• Support other regulatory projects impacting the Risk organization.

Skills

3+ years experience in quantitative风险模

Quantitative risk modelling

Regulatory practice

Stochastic modelling

Communication with regulators

SFT/OTC/ETD knowledge

Financial markets knowledge

Model documentation

Python

SQL

C#

C++

Java

Large data handling

AI for workflows

English fluency

Education

PhD or MA in Mathematics, Physics, Statistics or Econometrics

Tools

Python

SQL

C#

C++

Java

Job description

Job Type

Full Time

Job Reference #

338073BR

City

Kraków

Key Responsibilities

Are you experienced in risk modeling, in particular in the area of Counterparty Credit Risk (CCR)? Are you able to boil down complex models to their core when talking to senior management as well as senior regulators?

We’re looking for someone like that to:

• 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.

Your Skills And Experience

• A graduate or PhD / MA degree a 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. You do this with sound judgment – validating outputs and aligning with policies, risk standards, and ethical use.
• 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.

About Us

UBS is a leading and truly global wealth manager and the leading universal bank in Switzerland. We also provide diversified asset management solutions and focused investment banking capabilities. Headquartered in Zurich, Switzerland, UBS is present in more than 50 markets around the globe.

We know that great work is never done alone. That’s why we place collaboration at the heart of everything we do. Because together, we’re more than ourselves. Want to find out more? Visit ubs.com/careers.

Join us

At UBS, we know that it's our people, with their diverse skills, experiences and backgrounds, who drive our ongoing success. We’re dedicated to our craft and passionate about putting our people first, with new challenges, a supportive team, opportunities to grow and flexible working options when possible. Our inclusive culture brings out the best in our employees, wherever they are on their career journey. And we use artificial intelligence (AI) to work smarter and more efficiently. We also recognize that great work is never done alone. That’s why collaboration is at the heart of everything we do. Because together, we’re more than ourselves.

We’re committed to disability inclusion and if you need reasonable accommodation/adjustments throughout our recruitment process, you can always contact us.

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.

Report misconduct: If you are made aware of any of our employees or individuals acting on behalf of UBS engaging in acts of misconduct under the Poland Whistleblowing Act, you may report your concerns through [e-mail]