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Quant Analyst - Model Validation, Interest Rates job in London

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Company Name:  UBS
Location:  London
Country:  United Kingdom
Job Type:  Full Time
Your role

Are you an expert in interest rate derivatives and hybrids? Do you know how to validate term structure models for official valuation and risk management? We're looking for someone like that to:
  • Validate models to detect and quantify risks
  • Identify the use of mathematically flawed models, quantify errors, and propose alternative solutions
  • Identify models which while being mathematically sound, are not applicable to the given product and/or market
  • Highlight the potential of use of wrong or inconsistent input values for parameters, which are not readily quoted in the market (e.g., skew, correlation etc.)
  • Perform product certification and approval of single trades and review new products with special emphasis on valuation and risk management
  • Detect misunderstood and/or understated risks and identify unnoticed market changes (e.g. new traded products) which affect current valuation

    Your team

    You'll be working in the Rates Valuations Models team in London, covering valuation models used for linear/nonlinear rates, inflation and hybrid derivatives. We cover all aspects of model validation, model-related issues in trade pre-approvals and reserves for interest rates, equities, commodities, foreign exchange, and credit derivatives products, assessment of the impact of models on valuation, market, and credit risks. Together with other teams, it also develops methodologies for aggregating market and credit risks, to provide bank-wide risk analysis for senior management.

    Your experience and skills

    You have:
  • Previous experience in a similar role in an investment banks, such as model validation or front office roles
  • Masters degree in a quantitative discipline (mathematics/physics) is a prerequisite. A PhD from a top tier institution is strongly preferred
  • Knowledge of financial markets/products
  • Familiarity with C++ and Visual Basic

    You are:
  • able to develop models in a timely manner, using innovation and common sense
  • numerical with background in financial mathematics (complexity doesn't scare you)

    About us

    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.

    What we offer

    Together. That's how we do things. We offer people around the world a supportive, challenging and diverse working environment. We value your passion and commitment, and reward your performance.

    Why UBS?

    Take the next step

    Are you truly collaborative? Succeeding at UBS means respecting, understanding and trusting colleagues and clients. Challenging others and being challenged in return. Being passionate about what you do. Driving yourself forward, always wanting to do things the right way. Does that sound like you? Then you have the right stuff to join us. Apply now.
  • Industry:  Consultancy
    Job Ref:  144509BR
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