ubs - ir, fx macro, ipv quant

8/12/2019 Ubs - Ir, Fx Macro, Ipv Quant

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Ro le Pr of i l e S tr ic t l y Co n fi d e n t i a l

Rol e N a m e : Cor p o r a t e Ti t l e :

Valu a t i o n Me t h o d o l o g i e s Con t r o l l e r A/D

Loc a t i o n : Bu s i n e s s ar e a / Fu n c t i o n :

Lo n d o n FC D M ac r o (B UC )

Re p o r t s to: H u m a n Res o u r c e s M a n a g e r :

R ol e e sc r i p t i o n

Ho w t he ro le fi t s in to t he or ga n is a t io n a l st ru c tu r e . Ho w th e ro le is i nt en d e d to d e el o !. " ha t t hes co ! e a nd i #! a c t o f th e ro le is.

To further strengthen their position in valuations UBS extended their Global Valuations Group with the creationof a product aligned Valuation Methodologiesteam of specialists that will focus on all technical aspects relating tovaluations.

The current role is within the Macro Valuation Methodologiesteam. It will focus on Single urrenc! Interest "ate#xotics $allable %ibor #xotics& Spread 'ption and Mid(curve options& Volatilit! Bond and "atchet& etc)& I"*!brids #xotics $+", and other long(dated - options& I"/#0uit! h!brids& I"/#0uit! h!brids& etc)& Short(dated- products $Barrier options& Var/Vol swaps& etc) and #merging Mar1ets . The successful candidate will report tothe Global head of Macro and #merging Mar1ets Valuation Methodologies.

The main responsibilities across the Valuation Group are as follows2

I+V team2

independentl! verif! the valuation of the Ban13s vanilla and derivative trading portfolios

independentl! verif! the valuation of the Ban13s collateral positions

ensure that ade0uate provisions are boo1ed to cover primar! and conse0uential ris1s

report on the accurac! of reserves and valuations to senior management

ensure global consistenc! between regional control groups& and collate& review& and report upon their results interpret the impact of accounting polic! changes on the Ban1s portfolios and monitor compliance with

accounting policies

Valuation Methodologies team2

#ngineering of price testing methodologiesfor new products and on(going review of existing ones

"eview of methodolog! underl!ing model and li0uidit! reserves

4ssessment of model implementation & model calibrations

Model Governance polic! and reporting

5ualit! assurance 6 ensuring policies and methodologies are consistentl! applied across products and regions

4d(hoc technical assistance to the I+V and product control teams

The successful candidate3s ob7ective is therefore to proactivel! and continuousl! challenge and advance valuationmethodologies and processes& improve model governance and develop and implement new wa!s to capture andrepresent valuation uncertaint!. In addition to its 0uantitative nature the position offers the opportunit! tocontribute to global initiatives within UBS and to interact with colleagues across functions and locations.

The role demands the following s1ills2

The 7ob re0uires a good balance between the practical hands on 1nowledge of 5uantitative models

from product valuation perspective and abilit! to assess 8 0uantif! the uncertainties embedded in the productvaluation.

4ssessment of the uncertainties in the valuation of the products and anal!sing the alread! existing reserves

and ad7ustments or developing new methodologies to ta1e appropriate reserves and ad7ustments.

4ssessment of the uncertainties in the valuation of the products which covers model calibration& input

parameters& mar1ing of parameters& underl!ing model d!namics& model ris1& mar1et data etc.

9or1ing in close collaboration with the I+V team& -ront 'ffice 5uants& -inance +roduct ontrollers& ModelS BC ! a r " u r g i ll o n R ea d $ lo % al & ec r ui t # e n t ' ta n d ar d s / * + , / -* + - .d o c / *. 0


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Validation 5uants& Mar1et "is1 and Traders to address the valuation issues .

#e y Co nt r i " u t io n s

Cl i e n t (a dd i n g al u e t o c li en t s ) / P e o p l e (r ec r u it i n g / c o a c h i n g ! eo ! l e/ a l u i n g d i e rs i t 1 ) / $ c o n o m i c

( ac h i e i n g f in a n c i a l r es u l t s )

F u n c t i o n a l / T e c % n i c a l ( ad a n c i n g t ec h n i ca l e 2! e r t is e ) .

The individual will be expected to build strong wor1ing relationships with all 1e! areas within the organisation&including the trading des1s& mar1et ris1& 0uantitative ris1& trade support and business unit controllers. 4llvaluation controllers are expected to be proactive& ta1e ownership of issues and wor1 in a d!namic and oftenunsupervised environment which re0uires the abilit! to wor1 independentl! and within the group. 'utgoing&confident personalit!& with exceptional interpersonal s1ills and abilit! to identif! 8 manage ris1s effectivel!.

Re &u ir e d Ba c' g ro u n d

$ ss e n t i a l $ du c a t i o n

PhD or M.Sc. in finance or a quantitative discipline, such as mathematics, physics, engineering or other relatedtechnical field is desirable but not a requirement.

es ir a " l e $d uc a t io n

P ro f e s s i o n a l C er t i f i c a t e s ( e. g . r e3 u i r e d le g a l c er t i fi c a t e s )

La ng u a g e s re &u i r e d

4ng l ish

M o " il i t y r e& u i r e d ( e .g . t ra e l / r e l o c a t i o n )

5o

( dd it i o n a l r e& u ir e m e n t s

h e c an di d a t e sh ou ld ha e wo r6 in g 6n ow l e d g e of 7n te r es t &a te a nd F8 d er i a t i e s 9 i de al l 1

fro # a al u at i o ns # et h o d o l o g 1 9 # od e l a li da t io n 9 3 ua n ti t a t i e ris 6 # a n a ge # e n t or tr ad in g% a c 6 g r o u n d .

F un c t i o n a l / T ec % n ic a l

Pro f es s io n a l "e % a )i o u r * d e #o n s t r a t i n g fu ll u n d e r st a n d i n g of ! ro f es s io n a l 9 e th i ca l a nd le ga l

s t anda r ds

'!ec i f 1 :

't ro n g 7 nt e r ! e r s o n a l s 6i ll s $o od t ea # !l a1 e r

A% il it 1 t o w o r6 w el l u nd e r !r es s u re ;rio ri t is a t i o n a nd o rg a n is a t i o n a l s6 il ls

Pro d u c t a n d pr o ce ss 'n o+ l e d g e * ha ing d et a il e d 6 no w l e d g e o f c or e ! r o d u c ts a nd ! ro c es s e s

'!ec i f 1 :

't ro n g a na l 1 t i c a l s 6i ll s

S BC ! a r " u r g i ll o n R ea d $ lo % al & ec r ui t # e n t ' ta n d ar d s / * + , / -* + - .d o c / *. 0


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ubs - ir, fx macro, ipv quant

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