Model Validation - Risk Modeling & Analytics Specialist
Mumbai, India | UBS
Functions:Financial Services Professional
Job Description:52 people have viewed this job
Are you an expert in analytics? Are you an innovative thinker who likes to challenge the status quo? Are you interested in risk modelling? Are you wondering where the limitations of a model are? We are looking for someone to:
• assess the model's conceptual soundness and methodology
• check appropriateness of assumptions, parameters, model calibrations, qualitative or expert adjustments, etc.
• review outcome, impact, or benchmark analyses and develop a benchmark model (as appropriate)
• assess model risk, including model robustness analysis, identification of limitations, and their assessment
• document the assessment to the required standards
• collaborate with model developers and communicate with key stakeholders across the institution
You will be working within the Credit team of Model Risk Management & Controls (MRMC). The team is responsible for the certification and the regular confirmation of all Credit risk models at UBS. We carry out independent model assessments in line with the internal governance of models policy and regulatory requirements.
• strong quantitative analytic and modelling skills with Master’s or PhD degree in a quantitative field (e.g. econometrics, financial economics, financial maths, statistics, engineering, physics, mathematics) and preferably a few years of experience in risk modelling, model validation or related fields
• proven project management skills, taking end-to-end responsibility regarding quality and deadlines as well as timely escalating of issues
• showing high standards when it comes to report writing in a structured and transparent way.
• strong communication skills and the ability to explain technical topics clearly and intuitively
• good computing and programming (coding) skills and experience utilizing programming languages such as R or Python
• familiarity with CCAR and/or IFRS9 is a plus
• fluent in English, oral and written
• a team player with strong interpersonal skills
• motivated, well organized and able to complete tasks independently to high quality standards