Quantitative Credit Risk Analyst — Stress Testing

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

Job summary

UBS in Kraków is seeking a Quantitative Analyst to develop and maintain stress testing and provisioning models, leveraging quantitative risk management, econometrics and financial mathematics.

You will work within the Corporate & Retail Credit Scenario Models team to support regulatory initiatives, refine models, document performance and communicate complex results to Senior Management and Risk Officers.

Qualifications

• Master's or PhD in a quantitative discipline such as Econometrics, Economics, Finance, Mathematics, Financial Engineering, or Statistics.
• Strong knowledge of statistical and econometric methods and their application.
• 2+ years of experience in credit risk modelling with focus on Stress and IFRS9 models.
• Experience in programming with Python; knowledge of R and SQL is a plus.

Responsibilities

• Develop and maintain stress testing and provisioning models in line with regulatory standards.
• Support regulatory initiatives to manage risk.
• Develop, refine and implement risk models.
• Perform and document model performance and validation analyses.
• Communicate technical information to senior management, risk officers, and SMEs.

Skills

Credit risk modelling

Statistical methods

Econometrics

Analytical thinking

Education

Master's or PhD in Econometrics, Economics, Finance, Mathematics, Financial Engineering, or Statistics

Tools

Python

R

SQL

Job description

UBS in Kraków is seeking a Quantitative Analyst to develop and maintain stress testing and provisioning models, leveraging quantitative risk management, econometrics and financial mathematics.

You will work within the Corporate & Retail Credit Scenario Models team to support regulatory initiatives, refine models, document performance and communicate complex results to Senior Management and Risk Officers.