UBS is a client-driven global financial services firm. The Investment Bank is a leading investment banking and securities business, providing securities products, research and access to the world's capital markets for corporate and institutional clients, governments, financial intermediaries and alternative asset managers.
You will be a member of the "Valuations Team” which forms part of FXMM & Derivatives Valuation Control, based in Zurich. The Valuations Team conducts month end price and parameter testing, culminating in a month end Valuation Review, critically analysing the portfolios' balance sheet valuation, headline risk analysis, model & liquidity provisioning and all other valuation issues. The group is responsible for driving BUC's IAS39 implementation of the treatment of Day 1 P&L for the FXMM business.
Specifically, the role will entail:
Perform and strengthen valuation price testing processes
Assist in the monthly TOTEM submission, ultimately improving/building price testing spreadsheets
Calculate provisions and assist in ensuring global consistency/strengthening provision policies and development of reserving methodologies
Contribute to the preparation of the monthly Valuations Pack for senior management
Perform ad hoc reserve reporting requirements
The role requires extensive liaison with QRC, MRC and Front Office Traders
Group Objectives to be managed:
Contribute to developing an integrated Parameter Control and Risk/P&L framework
Development of reserving policy framework for vanilla and non-vanilla trade types. This includes redefining the current valuation review methodologies and procedures, and increasingly adding value to the critical analysis performed
Obtaining relevant valuation and risk model parameter information (from Front Office/Quant Group) and implementing value added solutions to identified problems
Developing value-added control processes for complex securities
Requirements
You will bring the following skill sets:
Strong mathematical/analytical ability
Familiarity with derivative instruments (FX Derivatives, Fixed Income derivatives, structured products and exotics)
Computing skills including Excel, VBA, Microsoft Access
Familiarity with database architecture, development of functional requirements desirable
Understanding of methodologies for managing traded risk
University degree
Desirable education includes CIMA/CFA/CFA/AZEK
Our Offering
UBS can offer you an environment geared towards performance, attractive career opportunities, and an open corporate culture that values and rewards the contribution of every individual.
It starts with you
Ready to take the next step? Apply now. We look forward to hearing from you.
