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Credit Risk Model Audit, Vice President
Mitsubishi UFJ Financial Group
New York, NY, United States
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Description
Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), the 5th largest financial group in the world with total assets of over $2.4 trillion (as ranked by SNL Financial, April 2016) and 140,000 colleagues in nearly 50 countries. In the U.S., we’re 13,000 strong, working together to positively impact every customer, organization, and community we serve. We achieve this by delivering on our values, putting people first, fostering long-term relationships built on honesty and mutual understanding, and inspiring the best in each other. This is all part of our inclusive, high-performing culture supported by Total Rewards that include our cash balance pension plan. Join a team that’s working to fulfill its vision to be the world’s most trusted financial group.
Primary Responsibilities
• Review quantitative modeling processes of Credit Risk (models and analytical tools); and validations of development, implementation and ongoing monitoring.
• Review model risk management on credit model use scope and limit-setting, remediation of validation findings, and ongoing monitoring processes by the first line and second line of defense in Credit Risk.
• Provide Subject Matter Expert (SME) support on credit risk analytics in other cross-matrix Internal Audit engagements.
• Ability to run audits, manage projects and participate in audit assignments in a team environment to ensure on-time delivery and quality control.
• Partner with colleagues, clients and control community members to evaluate, test and report on the adequacy and effectiveness of management controls. This is conducted in accordance with department policies and procedures, industry professional standards and supervisory rule and guidance (e.g. Basel III, SR 11-7 / OCC 11-12); and will require periodic reporting to senior client management.
• Interact and maintain relations with regulators and internal clients.
• Some travel may be required.
Qualifications
• MA/MS/Ph.D level in analytical fields (Finance, Economics, Statistics, Engineering)
• 4 to 8+ year of experience in Basel Advanced Approaches, credit analysis, quantitative finance or data-mining analytics
• Hands-on model development or validation experience with a solid grasp of risk and control framework in wholesale credit, commercial credit, and/or retail credit space.
• Exposure to wide variety of credit products and derivatives, risk analytics, validation methodologies and regulatory requirements
• Highly organized and attentive to detail in project management.
• Excellent written and verbal communication skills
• Strong interpersonal skills, enthusiastic, self-motivated, effective under pressure
Skills desired
• Detailed knowledge and experience of model development/validation with capital/risk/derivative pricing models across multiple asset classes
• Some experience in a financial services firm or in public accounting, with an appropriate level of exposure to and involvement with the products related to these credit underwriting businesses.
• Internal audit experience is a plus.
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.