Quant Analyst - Investment and ECAP Market Risk Stress Testing

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

Job summary

UBS in Kraków is seeking a Quant Analyst to join the Economic Capital - Market Risk team. You will develop quantitative methodologies to stress MTMs and forecast market risk losses, and collaborate with IT, risk control, and finance to ensure timely stress testing for new products.

The role involves maintaining documentation, prototyping automated stress testing processes, and assisting with regulatory submissions. Fluency in English and a strong quantitative background are essential.

Qualifications

• Master's degree in a quantitative discipline.
• Experience in market risk models development or validation.
• Knowledge of payoffs and risk sensitivities for forwards and options.
• Strong analytical, organizational and problem-solving skills under tight deadlines.
• Experience handling large datasets.
• Programming experience in Python or R.
• Ability to write rigorous and clear mathematical model documentation.
• Excellent English communication skills.

Responsibilities

• Develop quantitative methodologies to stress MTMs and forecast market risk losses over a scenario horizon for Economic Capital modelling.
• Collaborate with IT, market risk control, reporting, and finance teams to ensure timely market risk stress testing for newly onboarded products.
• Maintain high standards of documentation for internal and external distribution of processes and approaches.
• Develop prototypes or automated processes for stress testing.
• Assist with the execution of risk processes, including regulatory submissions.

Skills

Python

R

Big data

AI curiosity

English communication

Model documentation

Education

Master's degree in quantitative discipline

Tools

Python

R

Job description

Key Responsibilities

Have you worked in a risk department and have affinity with quantitative topics? Are you experienced in market risk methodologies and do you have the expertise to code in Python? At UBS, we re-imagine the way we work, the way we connect with each other - our colleagues, clients and partners - and the way we deliver value. Being agile will make us more responsive, more adaptable and ultimately more innovative.

Job Type

Full Time

Job Reference #

337641BR

City

Kraków

Key Responsibilities

Have you worked in a risk department and have affinity with quantitative topics? Are you experienced in market risk methodologies and do you have the expertise to code in Python? At UBS, we re-imagine the way we work, the way we connect with each other - our colleagues, clients and partners - and the way we deliver value. Being agile will make us more responsive, more adaptable and ultimately more innovative.

We're looking for a Quant Analyst to:

• develop quantitative methodologies to stress MTMs and forecast market risk losses over a scenario horizon for Economic Capital modelling
• collaborate closely with other teams (such as IT, market risk control, reporting, finance etc.) to ensure timely and effective market risk stress testing for the newly onboarded products
• maintain documentation of high standards for internal and external distribution on processes and approaches
• develop prototypes or automated processes for stress testing
• assist with the execution of risk processes (including regulatory submissions)

The team

You will be working in the Economic Capital - Market Risk team within the Firmwide Stress Testing Models in Kraków, which is part of the group-wide Quantitative Risk Methodology department.

We are focused on developing models on Economic Capital market risk for the firm's trading and banking book portfolios. We also support the market risk economic capital infrastructure, respond to business and regulator's queries on market risk economic capital and undertake projects to ensure that we can provide the required data and analysis to the business and regulators.

Your Skills And Experience

• a Master's degree in a quantitative discipline (e.g. Economics, Econometrics, Finance, Financial Engineering, Mathematics, Physics, Statistics, Applied Social Science)
• experience working on market risk models either in model development or model validation functions
• knowledge of payoffs and risk sensitivities for financial products such as forwards, options and other exotic products
• strong analytical, organizational and problem-solving skills with the ability to work under tight deadlines
• experience in handling large datasets
• programming experience, particularly in statistical languages such as Python, R programming
• ability to communicate logically and precisely, including writing rigorous and clear mathematical model documentation
• able to develop prototypes and automated processes
• experienced with statistical analysis and enthusiastic about creating your own models
• 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.
• very good communication skills in English and the ability to explain technical topics clearly and intuitively, both written and verbal

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.

Contact Details

UBS Business Solutions SA
UBS Recruiting

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.

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