Rol e Pr o f i l e

Rol e N a m e : Co r p o r a t e Ti t l e :

St r i c t l y Co n f i d e n t i a l

Val u a t i o n Me t h o d o l o g i e s Co n t r o l l e r
Loc a t i o n :

A/D
Bu s i n e s s ar e a / Fu n c t i o n :

Lo n d o n
R e p o r t s to :

FCD Ma c r o (BUC)
Hu m a n Reso u r c e s Ma n a g e r :

Rol e

escriptio n

Ho w the role fit s int o the or g a n i s a t i o n a l str u c t u r e . Ho w the role is int e n d e d to de e l o ! . " h a t th e sco ! e an d i# ! a c t of the role is.

To further strengthen their position in valuations UBS extended their Global Valuations Group with the creation of a product aligned Valuation Methodologies team of specialists that will focus on all technical aspects relating to valuations. The current role is within the Macro Valuation Methodologies team. It will focus on Single urrenc! Interest "ate #xotics $ allable %ibor #xotics& Spread 'ption and Mid(curve options& Volatilit! Bond and "atchet& etc)& I" *!brids #xotics $+", and other long(dated -. options& I"/#0uit! h!brids& I"/#0uit! h!brids& etc)& Short(dated -. products $Barrier options& Var/Vol swaps& etc) and #merging Mar1ets. The successful candidate will report to the Global head of Macro and #merging Mar1ets Valuation Methodologies. The main responsibilities across the Valuation Group are as follows2 I+V team2 independentl! verif! the valuation of the Ban13s vanilla and derivative trading portfolios independentl! verif! the valuation of the Ban13s collateral positions ensure that ade0uate provisions are boo1ed to cover primar! and conse0uential ris1s report on the accurac! of reserves and valuations to senior management ensure global consistenc! between regional control groups& and collate& review& and report upon their results interpret the impact of accounting polic! changes on the Ban1s portfolios and monitor compliance with accounting policies Valuation Methodologies team2 #ngineering of price testing methodologies for new products and on(going review of existing ones "eview of methodolog! underl!ing model and li0uidit! reserves 4ssessment of model implementation & model calibrations Model Governance polic! and reporting 5ualit! assurance 6 ensuring policies and methodologies are consistentl! applied across products and regions 4d(hoc technical assistance to the I+V and product control teams

The successful candidate3s ob7ective is therefore to proactivel! and continuousl! challenge and advance valuation methodologies and processes& improve model governance and develop and implement new wa!s to capture and represent valuation uncertaint!. In addition to its 0uantitative nature the position offers the opportunit! to contribute to global initiatives within UBS and to interact with colleagues across functions and locations. The role demands the following s1ills2 The 7ob re0uires a good balance between the practical hands on 1nowledge of 5uantitative models from product valuation perspective and abilit! to assess 8 0uantif! the uncertainties embedded in the product valuation. 4ssessment of the uncertainties in the valuation of the products and anal!sing the alread! existing reserves and ad7ustments or developing new methodologies to ta1e appropriate reserves and ad7ustments. 4ssessment of the uncertainties in the valuation of the products which covers model calibration& input parameters& mar1ing of parameters& underl!ing model d!namics& model ris1& mar1et data etc. 9or1ing in close collaboration with the I+V team& -ront 'ffice 5uants& -inance +roduct ontrollers& Model
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SBC ! a r " u r g

Validation 5uants& Mar1et "is1 and Traders to address the valuation issues.

#e y Co n t r i " u t i o n s Cli e n t (ad d i n g al u e to clie n t s ) / Pe o p l e (re c r u i t i n g / c o a c h i n g !eo ! l e / a l u i n g di e r s i t 1 ) / $c o n o m i c (ac h i e i n g fin a n c i a l res u l t s ) Fu n c t i o n a l / T e c % n i c a l (ad a n c i n g tec h n i c a l e2 ! e r t i s e ) .

The individual will be expected to build strong wor1ing relationships with all 1e! areas within the organisation& including the trading des1s& mar1et ris1& 0uantitative ris1& trade support and business unit controllers. 4ll valuation controllers are expected to be proactive& ta1e ownership of issues and wor1 in a d!namic and often unsupervised environment which re0uires the abilit! to wor1 independentl! and within the group. 'utgoing& confident personalit!& with exceptional interpersonal s1ills and abilit! to identif! 8 manage ris1s effectivel!.

Re & u i r e d Ba c ' g r o u n d $ss e n t i a l $d u c a t i o n PhD or M.Sc. in finance or a quantitative discipline, such as mathematics, physics, engineering or other related technical field is desirable but not a requirement. e s i r a " l e $d u c a t i o n

Pr o f e s s i o n a l Ce r t i f i c a t e s (e. g. re3 u i r e d leg a l cer t i f i c a t e s )

La n g u a g e s r e & u i r e d

4n g li s h
M o " i l i t y r e & u i r e d (e. g. tr a e l / r e l o c a t i o n )

5o
(d d i t i o n a l r e & u i r e m e n t s

(h e ca n d i d a t e sho u l d ha e wo r 6 i n g 6n o w l e d g e of 7nt e r e s t &at e an d F8 de ri a t i e s 9 ide a l l 1 fro # a al u a t i o n s # e t h o d o l o g 1 9 # o d e l ali d a t i o n 9 3 u a n t i t a t i e ris6 # a n a g e # e n t or tra d i n g %a c 6 g r o u n d .

Fu n c t i o n a l / T e c % n i c a l Pr o f e s s i o n a l " e % a ) i o u r * de # o n s t r a t i n g full un d e r s t a n d i n g of !r of e s s i o n a l 9 et h i c a l an d leg a l sta n d a r d s '!e c i f 1 :

'tro n g 7nt e r ! e r s o n a l s6ills A%ili t 1 to wo r 6 we ll un d e r !re s s u r e

$o o d te a # !la 1 e r ;rio ri t i s a t i o n an d org a n i s a t i o n a l s6ills

an d !r o c e s s e s

Pr o d u c t a n d pr o c e s s 'n o + l e d g e * ha i n g de t a i l e d 6n o w l e d g e of cor e !r o d u c t s '!e c i f 1 :

'tro n g an a l 1 t i c a l s6ills
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<n o w l e d g e of 7nt e r e s t &at e an d F8 cas h an d de ri a t i e !ro d u c t s is esse n t i a l

Bu s i n e s s , t e c % n i c a l e - p e r t i s e * ha i n g ot h e r s!e c i a l i s e d 6no w l e d g e an d s6ills '!e c i f 1 :

VBA9 Ma t l a % 9 fu n c t i o n a l C/C = = wo u l d %e an ad a n t a g e ;ro % l e # 'ol i n g

Cli e n t

Ma n a g i n g Val u a t i o n &is6
(to selec t a co # ! e t e n c 1 clic 6 the a!! r o ! r i a t e chec 6 %o2 )
$ss e n t i a l esir a " l e No t (p p l i c a " l e

St r a t e g i c a n d gl o " a l p e r s p e c t i ) e Un d e r s t a n d i n g an d con t r i % u t i n g to glo % a l %usi n e s s str a t e g 1 Cli e n t or i e n t a t i o n a n d se r ) i c e Un d e r s t a n d i n g / a n t i c i ! a t i n g clie n t s > nee d s N e t + o r ' i n g a n d inf l u e n c i n g Buil d i n g an d usi n g ne t w o r 6 s of 6e1 infl u e n c e r s Cr o s s * sel l i n g 7de n t i f 1 i n g an d e2 ! l o i t i n g o! ! o r t u n i t i e s to cr oss sell wit h i n the Ban 6 Pe o p l e
(to selec t a co # ! e t e n c 1 clic 6 the a!! r o ! r i a t e chec 6 %o2 )
$ss e n t i a l esir a " l e No t (p p l i c a " l e

Fo s t e r i n g a n d le a d i n g a t e a m rec r u i t i n g 9 de e l o ! i n g 9 # o t i a t i n g hig h cali % r e !eo ! l e Te a m + o r ' wo r 6 i n g coll a % o r a t i e l 1 wit h i n fun c t i o n a l an d cr oss ? fun c t i o n a l tea ri) e # as nd imp a c t De # o n s t r a t i n g self conf i d e n c e / str i i n g for e2c e l l e n c e . a l u i n g di ) e r s i t y Un d e r s t a n d i n g and e2 ! l o i t i n g a di e r s e cul t u r e $c o n o m i c
(to selec t a co # ! e t e n c 1 clic 6 the a!! r o ! r i a t e chec 6 %o2 )
$ss e n t i a l esir a " l e No t (p p l i c a " l e

/n n o ) a t i o n a n d co n t i n u o u s i m p r o ) e m e n t %ei n g cre a t i e an d de e l o ! i n g ne w ide a s an d a! ! r o a c h e s Pr o " l e m sol ) i n g a n d d e c i s i o n m a ' i n g usi n g logi c a l ana l 1 s i s to res o l e !r o % l e # s and rea c h sou n d ng s reso u r c e s Le )dec e r ais gi ion Mo % i l i s i n g res o u r c e s 9 !la n n i n g an d str u c t u r i n g wo r 6 M a n a g i n g ris ' %ei n g !r e ! a r e d to %e dec i s i e an d ta 6 e calc u l a t e d ris6 (d d i t i o n a l co m p e t e n c y Fl e - i " l e a p p r o a c % t o + o r ' 0 ("i l i t y t o d e l i ) e r a n d m e e t i n g ti g % t d e a d l i n e s
No t (p p l i c a " l e

$ss e n t i a l

esir a " l e

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