Market Risk Stress Testing Analyst
UBS
Poland
6 d. temu

Your role

Do you have a passion for the financial markets?

Market and Treasury Risk Stress and VaR management is looking for a new candidate as the team is expanding due to increasing demands.

The role focuses on ensuring the stress scenarios and VaR metrics that are used for controlling the bank's risk appetite are appropriate given market dynamics, the Group's risk profile and potential stress trigger events.

The role will also need to factor in the increasing regulatory focus on stress testing (e.g. CCAR, EBA stress testing).

Your responsibilities will include :

  • Ensuring that the internal and regulatory stress scenarios are appropriately formulated and that these are regularly reviewed and updated as required
  • Liaising with economists, market and treasury risk officers and the business to develop new stress scenarios to meet changing markets and risk concentrations
  • Actively analyse the risk profile for portfolios and their underlying drivers that alters stress and VaR results
  • Contribute to project-oriented IT implementations from Risk Methodology to ensure that the application of stress scenarios is appropriate and driving changes where needed
  • Ensuring that the stress scenario documentation is of the highest standard
  • Understanding VaR implementation and enhancements to capture this risk, noting the approximations that need to be made for complex products
  • Ensuring that enhanced regulatory focus on stress testing is suitably managed
  • Your team :

    Stress and VaR Management sits within Market and Treasury Risk Control and provides an integrated function between the portfolio risk officers and other functions such as the Risk Methodology team and the economists.

    You will be a part of a global team with colleagues in London and Zurich. This team needs to ensure that the stress scenarios are appropriately designed and stand accountable to internal stakeholders as well as regulatory authorities.

    The stress and VaR models need to be understood and process made on enhancing modeling techniques.

    Your expertise :

  • Ideally you have experience within market risk and are familiar with VaR and stress testing.
  • Analytical thinking with a strong grasp of financial products as well as keen interest in current affairs and financial markets
  • Excellent academics with quantitative knowledge to allow suitable analysis of financial data and stress test results
  • Good interpersonal skills to facilitate good collaboration between the stakeholders and enhance a strong team dynamic
  • Comfortable with data, able to identify risks and opportunities and react accordingly
  • Ability to work independently with strong problem solving and analytical skills
  • About us

    Expert advice. Wealth management. Investment banking. Asset management. Retail banking in Switzerland. And all the support functions.

    That's what we do. And we do it for private and institutional clients as well as corporations around the world.

    We are about 60,000 employees in all major financial centers, in more than 50 countries. Do you want to be one of us?

    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.

    Keen to achieve the work-life agility that you desire? We're open to discussing how this could work for you (and us).

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