Director, Quantitative Analyst

UBS•New York, NY

8d•$192,500 - $250,000•Hybrid

About The Position

UBS SECURITIES LLC is seeking a Director, Quantitative Analyst in New York, NY. This role involves developing and programming high-priority quantitative risk analyses, implementing new features and improvements to UBS’s pricing and risk framework, and developing models for pricing and risk management of financial derivatives. The analyst will analyze and monitor live financial products and indices, as well as in-house quantitative and trading tools and coding libraries. Responsibilities include investigating and assessing trade values and risks, understanding underlying quantitative index strategies models, and assisting front office roles (trading, sales, structuring) in understanding derivative sensitivities and fair pricing. The role also serves as the first line of defense for model risk, assessing the consequences of modeling decisions in various market conditions, and liaising with control functions to ensure adherence to model governance policies and standards within the investment bank. This position offers a hybrid work model (In-office/remote).

Requirements

Master’s degree or foreign equivalent in Engineering (any), Quantitative Finance, Applied Mathematics, Computer Science, or related field of study plus six (6) years of experience in the job offered or as a Quantitative Strategist, Cross-Asset Quant, Quantitative Analyst, or related occupation.
C++
Python
Gitlab
Implementing, maintaining, and modifying quantitative financial models
Reporting on analytical progress and results
Financial modeling
Equity swaps and convertible bonds
Improving risk management
Creating profit and loss attribution reports for equity indices
Index rules
Dividends
Corporate actions and planned additions.

Responsibilities

Develop and program high-priority quantitative risk analyses, including implementing new features and improvements to UBS’s pricing and risk framework.
Develop models for pricing and risk management of financial derivatives.
Analyze and monitor live financial products and indices.
Analyze in-house quantitative and trading tools and coding libraries.
Investigate and assess trade values and risks and underlying quantitative index strategies models.
Assist front office roles, including trading, sales, and structuring in understanding the sensitivities of such derivatives and the elements that go into the fair price of such financial offering.
Act as the first line of defense for model risk.
Understand the consequences of modelling decisions in various market conditions and scenarios, and liaise with the control functions to confirm the adherence to the model governance policies and standards of the investment bank.