Zurich, Zurich, Switzerland
Leading a team of quant risk specialists developing firm-wide economic capital models covering primary and consequential risks covering e.g. credit, market, operational and pension risk. Expertise on portfolio models/ modeling dependence structures within and across risk types. Managing models across the full model development lifecycle.
Leading a team of quant risk specialists performing independent model validation of all UBS credit & issuer risk models excl. counterparty credit risk. Model expertise on probability of default, loss given default, credit conversion factors across various product/ counterpary types as well as credit portfolio models, credit stress testing, real estate valuation, scenario generation and models used for Incremental Risk Charge.