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Treasury Market Risk Analyst, Vice President
Mitsubishi UFJ Financial Group
Los Angeles, CA, 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.
Job Summary:
Reporting to the Treasury Risk Manager, the Treasury Market Risk Analyst will provide market risk oversight within the Bank's Market Risk Management Division (MRMD) group. This position will be accountable for monitoring the Bank's non-trading market risk from ALM, Derivatives, Investment Portfolio, MSRs activities and funding and liquidity risks. The incumbent will work independently with business partners throughout the Bank as well as regulators.
Major Responsibilities:
• Provide independent market risk management review of the bank's balance sheet, including: ALM position, Derivatives Investment Portfolio composition, funding profile, and liquidity and business forecasts. Evaluate and recommend the bank's ALM, Investment Portfolio, derivatives, and liquidity strategies within the context of current and forecasted market conditions and analyze/compare these strategies relative to known peer banks
• Offer insight into interrelationships between Balance Sheet and Income Statement. Additionally, provide insight into correlated risks with related entities.
• Provide independent review of ALM/balance sheet risk management strategies adopted by the Corporate Treasury. Review the Bank's balance sheet to ensure that potential market risk exposures are being challenged, monitored and controlled.
• Analysis of Funds Transfer Pricing (FTP) and also the ability to challenge funding assumptions and their effect on balance sheet composition.
• Oversight of Mortgage Servicing Rights (MSR) portfolio and analysis of hedging activities.
• Analyze market risks associated with investment securities such as Mortgage-backed Securities, Commercial Mortgage-Backed Securities, Collateralized Loan Obligations including prepayment, premium and regulatory capital risks.
• Monitor and enhance Risk Framework: compliance with policy limits and guidelines, update policies, ensure compliance with other regulations, work with internal auditors on emerging issues. Collaborate with business lines to develop, enhance and administer risk policies.
• Assess internal and external market risks and report MRMs perspective to senior management.
• Review risk analytics and modeling assumptions generated by the Corporate Treasury's Quantitative Research Department. Independently backtest and review performance of quantitative models.
• Complete ad-hoc projects and analysis consistent with the Market Risk Management functions objectives.
• Participate in all system upgrade/migration/conversion projects related to these businesses activities.
• Ability to create professional presentations and present concepts to executives in a concise yet effective manner.
Qualifications
• 5+ years of financial experience with Asset-Liability Management or Funding & Liquidity in a Treasury or Market Risk Management environment.
• Experience with liquidity management or a Bank's investment portfolio is a plus but not a requirement.
• Deep knowledge of Enhanced Prudential Standards (EPS) and SR 10-1 and IRRBB for Interest Rate Risk Management, SR 12-7, Heightened Standards and other applicable regulations.
• Previous experience within FBO or IHC preferred.
• Ideal candidates will have direct experience using ALM software, preferably QRM. Will also have experience in prepayment modeling, non-maturity deposit modeling, strong working knowledge of securitized investment products and have hands on experience in research and analysis of a Bank's balance sheet.
• A graduate degree in a quantitative field, e.g. financial engineering, computational finance, is desired. Other desirable professional designations include: CFA charter, MBA, a FRM certification, or a PRM certification.
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.