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About the Role

UBS Securities LLC is seeking an Associate Director, Structurer to develop and maintain a new workflow for structured products risk recycling. This role involves triaging with trading desks to assess risks and opportunities, arranging innovative payoffs, and performing risk/reward analysis. You will also structure custom volatility dispersion baskets, prepare client pitches, and build internal tools using strong coding and quantitative skills. Additionally, you will use machine learning techniques to optimize algorithms for stock selection in dispersion trades and develop innovative payoffs within the equities volatility asset class, while adhering to all applicable regulations and internal policies.

Responsibilities

Develop and maintain a new workflow for structured products risk recycling.
Triage with exotics trading desks in the Americas and in EMEA to assess existing risks and opportunities and arrange innovative payoffs, often with a high level of complexity requiring substantial mathematical modeling of risk and return for the client and UBS.
Utilize strong analytical and quantitative skills to perform risk/reward analysis and back tests of potential investments on a case-by-case basis.
Support the senior members of the Americas Exotics and Risk Recycling Structuring Team on a deal by deal or project by project basis.
Structure custom volatility dispersion baskets and other tactical volatility trades by running selection processes, pricings and client pitches preparation.
Use strong coding and quantitative skills to build and enhance internal tools, analytics and screeners.
Use machine learning techniques to optimize internal algorithm for stock selection in dispersion trades.
Work with quantitative, trading and legal teams developing innovative payoffs within the equities volatility asset class.
Adhere to all applicable regulations and internal policies including relevant compliance policies.
Ensure escalation and disclosure of any information of which applicable regulators would reasonably expect notice.
Observe proper standards of market conduct including paying due regard to interests of customers and treating them fairly where relevant.

Requirements

Master’s degree or foreign equivalent in Finance, Mathematics, or a related field of study.
Bachelor degree or foreign equivalent in Finance, Mathematics, or a related field of study and 3 years of experience in the job offered or 3 years of experience as a Global Markets Quantitative Trading Summer Analyst, or a related occupation in lieu of Master’s degree.
Knowledge of Python.
Knowledge of Machine learning.
Knowledge of Data mining.
Knowledge of Stochastic volatility modeling including Bergomi model.
Knowledge of Local-Stochastic Volatility model.
Knowledge of Equity Derivatives payoffs including variance swaps, volatility swaps, autocallable notes, conditional variance swaps, geometric dispersion, barrier options, lookback options, forward volatility agreements, and cliquets.
Knowledge of kdb+/q.
Knowledge of Bloomberg.
Skills can be gained concurrently as part of a relevant graduate degree program.

Skills

Python
Machine learning
Data mining
Stochastic volatility modeling
Bergomi model
Local-Stochastic Volatility model
Equity Derivatives payoffs
variance swaps
volatility swaps
autocallable notes
conditional variance swaps
geometric dispersion
barrier options
lookback options
forward volatility agreements
cliquets
kdb+/q
Bloomberg

Location

New York, NY

Work Type

40 hrs/wk
Monday - Friday
8:00 a.m. - 5:00 p.m.

Experience Level

Associate Director

Education Level

Master’s degree or foreign equivalent in Finance, Mathematics, or a related field of study
Bachelor degree or foreign equivalent in Finance, Mathematics, or a related field of study and 3 years of experience

Salary/Compensations

USD 170000-175000 /annum

Benefits

For benefits information, please visit ubs.com/usbenefits.
UBS offers a range of competitive benefits and for further information, please visit ubs.com/employee-benefits.

About the Company

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.
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.

Equal Opportunity

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.