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Credit Risk Reporting Senior Analyst
Mitsubishi UFJ Financial Group
San Francisco, CA, United States
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Description
Working as a Senior member of the Bank’s Stress Test Production team leading the streamlining and automation of the Bank’s suite of credit loss forecasting models, as well as building an integrated platform to run the models and report results on demand under given macroeconomic scenarios. Building, running and maintaining an automated production platform for credit loss stress test models using SAS and R and also extracting and transforming data from Oracle databases. Reporting accurate and timely results during Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act Stress Testing (DFAST) stress testing cycles, and meeting ad-hoc managerial requests. Modifying existing model code to enable seamless automation and minimize model execution time. Coordinating, downloading and processing exposure-level input data from data warehouses. Updating production models as needed to ensure they produce identical results to development models. Maintaining a suite of unit and integration tests to monitor the health of the production system after each code change. Writing and maintaining documentation for the production system. Mentoring and providing leadership to Credit Risk Analysts.
Qualifications
Education: Bachelor's Degree in Financial Engineering, Engineering Technology, Statistics, Mathematics or a related quantitative field (or foreign equivalent degree).
Experience: 5 years of related experience performing statistical analyses using SAS and R; and with Oracle databases.
Alternate: Employer will accept a Master’s Degree in Financial Engineering, Engineering Technology, Statistics, Mathematics or a related quantitative field (or foreign equivalent degree) plus 3 years of related experience performing statistical analyses using SAS and R; and with Oracle databases.
Location: 350 California Street, San Francisco, CA 94104
The above statements are intended to describe the general nature and level of work being performed. They are not intended to be construed as an exhaustive list of all responsibilities duties and skills required of personnel so classified.
We are proud to be an Equal Opportunity / Affirmative Action Employer and committed to leveraging the diverse backgrounds, perspectives, and experience of our workforce to create opportunities for our colleagues and our business. We do not discriminate in employment decisions on the basis of any protected category.
A conviction is not an absolute bar to employment. Factors such as the age of the offense, evidence of rehabilitation, seriousness of violation, and job relatedness are considered in all employment decisions. Additionally, it's the bank's policy to only inquire into a candidate's criminal history after an offer has been made. Federal law prohibits banks from employing individuals who have been convicted of, or received a pretrial diversion for, certain offenses.