Python-Driven Exotic Derivatives Model Validator

UBS; Kraków; On-site; PLN 260,000 - 380,000; Full time

Job summary

UBS Kraków is seeking a highly skilled quantitative modeller to review exotic derivatives, approve bespoke transactions, and influence risk decisions in a global investment bank. You will join the Model Validation team, applying C++ and Python, Monte Carlo and PDE techniques, and leveraging AI to improve performance and accuracy.

This role requires clear communication, mentoring, and collaboration with Front Office, Market Risk, and senior stakeholders.

Qualifications

• MSc or PhD in a quantitative discipline.
• Proficiency using C++ and/or Python, with experience implementing derivative models.
• Experience with Monte Carlo and PDE techniques.
• Excellent written and interpersonal communication skills.
• Curious about applying AI to improve workflows with sound judgment.

Responsibilities

• Independently review exotic equities and commodities derivative models.
• Approve bespoke exotic derivative transactions.
• Provide expertise on model suitability, calibration, speed and accuracy.
• Represent the team at internal meetings and mentor junior team members.
• Develop testing and benchmark models in Python.
• Strategically utilise AI tools.
• Act as a trusted advisor to Front Office, Market Risk, and senior stakeholders on model risk topics.

Skills

Quantitative experience

C++

Python

Monte Carlo methods

PDE methods

Communication skills

AI exploration

Education

MSc or PhD in quantitative discipline

Job description

UBS Kraków is seeking a highly skilled quantitative modeller to review exotic derivatives, approve bespoke transactions, and influence risk decisions in a global investment bank. You will join the Model Validation team, applying C++ and Python, Monte Carlo and PDE techniques, and leveraging AI to improve performance and accuracy.

This role requires clear communication, mentoring, and collaboration with Front Office, Market Risk, and senior stakeholders.