Associate Director, Quantitative Analyst

UBS Securities LLC is hiring an Associate Director, Quantitative Analyst (ref. Code 002879) in New York, NY. Duties: 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 desks 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).REQUIREMENTS: Employer will accept a Masters degree or foreign equivalent in Finance, Mathematics, or a related field of study. The employer will alternatively accept a Bachelors 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 Masters degree. Related skills may be required. #LI-DNP. 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. To apply, please send resume to the following email address [email protected] and include the job order number visible to you above in the subject line of the email. It is important to include the job order number in the subject line of the email. Also include the Ref code number: 002879.