eFinancialCareers

• Company

  UBS AG

• Location

  Switzerland-Zurich

• Compensation

  competitive

• Position Type

  Permanent

• Employment type

  Full time

• Updated

  28 Oct 2009

• eFC Ref no

  584800

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.