Initial validation of a new stress scenario model for capturing credit risk losses related to nostro exposures.
The Risk Modeling and Analytics Specialist is responsible for either the development of risk models (acting on behalf of model owner), or for the independent verification of risk and valuation models. For those holding ‘ad personam’ delegated sign-off authority, Risk Modeling and Analytics Specialists are expected to exercise their authority in a rigorous, diligent, consistent and professional manner.
*Lead the development / verification of models within their area of responsibility and in accordance with policy *Ensure, together with the relevant functions and model owners, that the models comply with UBS’s internal, as well as regulatory and accounting requirements
*Help to ensure that UBS’s approach to modeling risks and to product valuations is in line with appropriate industry practice
*Take a broad view of the risks and help ensure that there are no material gaps in the measurement of risks and – in support of Finance – in the valuation of products
*Exercise sign-off authority in accordance with ‘ad personam’ delegated verification authority
*Understand the products, processes, systems and policies of UBS, as well as the regulatory requirements and trends relevant for fulfilling the role
*Develop and/or review models, proactively and constructively, while adhering to the firm’s risk principles and standards
*Ensure regulatory requests are dealt with in a disciplined, timely and efficient manner
*Exercise judgment and escalate issues for discussion at the relevant model governance forum, as needed