United States - New York

Investment Banking

Investment Bank

Your role

UBS Securities LLC is seeking an Associate Director, Quantitative Analyst in New York, NY
Are you an innovative thinker? Do you enjoy delivering enhanced change capabilities across a range of business functions? Are you passionate about IT process automation using cutting edge tooling platforms?

We’re looking for an Associate Director, Quantitative Analyst to:
• Develop and maintain the extension of the functionality within analytics libraries used for valuation and risk management of UBS’ interest rate, credit, and hybrid derivatives business for business and regulatory requirements. Triage with the trading, IT, and control functions to provide support on modeling and quantitative matters.
• Provide analytical and quantitative support for trading desks that deal with several types of products including all linear interest rate products such as Swaps, Futures, and Government Securities; all Interest Rate Option products including Swaptions, Caps & Floors, exchange traded options; all Structured Rates products including Bermudan Options, Callable Notes, Range Accruals, and Leveraged Steepeners among others; and Structured Hybrid products including the underlying Interest Rate/FX/Equity indices.
• Code mathematical models in our C++ libraries and on tools using Python, Excel/VBA. Contribute to regulatory and model governance requirements by writing model documentation with technical/mathematical descriptions using LaTex and detailed tests using Python within our documentation framework.
• Provide support and input to the trading desk in usage of our stochastic-volatility Model, the SABR model, and related risk functionality including interest rate volatility risk, skew/smile, and interest rate risk measures. Support the interest rate options trading desk’s end of day model publishing and calibration processes. Tasked with investigations of day-to-day risk-based P&L attribution and explanation of any unexplained P&L and for generating solutions and improvements.
• Work in Python to provide the trading desk with various visualization and relative value tools to aid them with the pricing and marking of models. Be involved with the migration of our books to a strategic trading and risk management platform. Implement new pricing methodologies and modeling enhancements to the stochastic volatility model and SABR model in our C++ libraries to support Options and Structured Rates businesses.
• Can work hybrid (In-office/remote).

Qualified Applicants apply through SH-ProfRecruitingcc@ubs.com. Please reference 002879. NO CALLS PLEASE. EOE/M/F/D/V

Salary Range & Work Schedule: $160,000 to $225,000/year, 40 hrs/wk. This notice is being posted in connection with an application for permanent Alien Labor Certification. Any person may comment or provide documentary evidence bearing on this application to: U.S. Department of Labor, Employment and Training Administration, Office of Foreign Labor Certification, 200 Constitution Avenue NW, Room N-5311, Washington, DC 20210.

The expected salary range(s) for this role as of the date of this posting is/are based on factors including, but not limited to, experience, qualifications, education, location and skill level. This role may also be eligible for discretionary incentive compensation. For benefits information, please visit ubs.com/usbenefits.

Job Reference #

338974BR

City

New York

Job Type

Full Time

Your Career Comeback

We are open to applications from career returners. Find out more about our program on ubs.com/careercomeback.

Your team

Diversity helps us grow, together. That’s why we are committed to fostering and advancing diversity, equity, and inclusion. It strengthens our business and brings value to our clients.

You’ll be working in the Quantitative Analyst team in New York, NY.

Your expertise

Education & Experience Requirement:
• Master’s degree or foreign equivalent in Finance, Mathematics, or a related field of study.
• Alternate Education & Experience Requirement
• Bachelor’s degree or foreign equivalent in Finance, Mathematics, or a related field of study and 2 years of experience in the job offered or 2 years of experience as a Quantitative Strategist, or a related occupation in lieu of Master’s degree.

Position requires knowledge with the following:
• Standard financial products; Mathematical modelling of financial markets; numerical methods (for both PDEs and Monte Carlo); stochastic models in use in Fixed Income Solutions, such as the SABR model and other term-structure models; C ++ software, including functional programming(e.g. F#) and object-oriented techniques development; Python; Excel/VBA; LaTex; Mathematical skillset: statistics / linear algebra / probabilities / PDE / ODE; time-series analysis and machine learning; option pricing theory; risk analysis of trades and existing portfolios; exposure to algorithms and optimization.

About us

UBS is a leading and truly global wealth manager and the leading universal bank in Switzerland. We also provide diversified asset management solutions and focused investment banking capabilities. Headquartered in Zurich, Switzerland, UBS is present in more than 50 markets around the globe.
We know that great work is never done alone. That’s why we place collaboration at the heart of everything we do. Because together, we’re more than ourselves. Want to find out more? Visit ubs.com/careers.

Salary information

The indicative gross base salary range as a full-time equivalent role:
• United States - New York - New York min USD 160000 - max USD 225000 /annum

The expected salary for this role will be determined by relevant factors which may include but are not limited to, role-required experience, qualifications, education, location and skill level. UBS offers a range of competitive benefits and for further information, please visit ubs.com/employee-benefits. We may, at our sole discretion, provide additional variable compensation or awards.

Join us

At UBS, we know that it's our people, with their diverse skills, experiences and backgrounds, who drive our ongoing success. We’re dedicated to our craft and passionate about putting our people first, with new challenges, a supportive team, opportunities to grow and flexible working options when possible. Our inclusive culture brings out the best in our employees, wherever they are on their career journey. And we use artificial intelligence (AI) to work smarter and more efficiently. We also recognize that great work is never done alone. That’s why collaboration is at the heart of everything we do. Because together, we’re more than ourselves.
We’re committed to disability inclusion and if you need reasonable accommodation/adjustments throughout our recruitment process, you can always contact us.

Disclaimer / Policy statements

UBS is an Equal Opportunity Employer. We respect and seek to empower each individual and support the diverse cultures, perspectives, skills and experiences within our workforce.