Quant Analyst: Market Risk & Economic Capital 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

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.