Quantitative Analyst, Rates Risk & P&L Modeling

UBS; New York (NY); On-site; USD 225,000 - 243,000; Full time

Job summary

UBS in New York is seeking a highly qualified quantitative analyst to develop and extend analytics libraries, partnering with QA teams to deliver cross-asset risk management and P&L solutions.

You will interact with trading and control functions on modelling and quantitative matters, applying machine learning insights and contributing to models for interest rate derivatives and related products. This role offers collaboration across teams and opportunities to influence quantitative workflows.

Qualifications

• Strong academic background in a quantitative field (mathematics, physics, engineering, etc) at a Masters or PhD level.
• Proficiency in programming (especially C++ or Python)
• Knowledge of quantitative finance, derivative pricing and/or machine learning techniques
• An understanding of financial products and markets, especially interest rate derivatives, with demonstrable hands-on experience in Interest Rate Options, Lightly Structured and Exotic Rate products and their modelling.
• Experience with calibration and risk-based P&L analysis of Interest Rate Option & Term-Structure models.
• Ability to communicate complex ideas in a fluent and articulate manner
• You’re curious 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.

Responsibilities

• Develop and extend functionality within analytics libraries to cater for business and regulatory requirements
• Work closely with other QA teams to develop cross-asset solutions for risk management and P&L reporting
• Have frequent interaction with trading and control functions to provide support on modelling and quantitative matters

Skills

Mathematics/Physics/Engineering (MSc/9

C++

Python

Quantitative finance

Machine learning

Communication

AI/ethics awareness

Education

Masters or PhD in quantitative field

Tools

C++

Python

Job description

UBS in New York is seeking a highly qualified quantitative analyst to develop and extend analytics libraries, partnering with QA teams to deliver cross-asset risk management and P&L solutions.

You will interact with trading and control functions on modelling and quantitative matters, applying machine learning insights and contributing to models for interest rate derivatives and related products. This role offers collaboration across teams and opportunities to influence quantitative workflows.