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Market Risk Management - Quantitative Analyst
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:
The quantitative Analyst within Market Risk Management Department (MRMD) is responsible for model development and quantitative analysis for both MRMD and its business partners. This position will provide ad-hoc quantitative support to risk managers and work closely with the quant manager to ensure MRMD model risk management is in compliance with the Bank’s Model Governance Policy.
Major Responsibilities:
• Support the quant manger to manage market risk and pricing models in MUB and BTMU NY, including model development/enhancement, user acceptance testing, model documentation, performance monitoring, and resolution of model validation findings.
• Provide quantitative support to market risk, interest rate and liquidity risk managers. Investigate and resolve quantitative related issues in MRMD’s risk measurement and production reporting.
• Provide quantitative support to MRM’s business partners in risk assessment and new initiatives/projects, participate in front office and middle office system upgrade/integration.
• Manage and enhance MRM’s End User Computing tools.
• Develop a deep understanding of the Bank's market risk models (VaR, SVaR, Sensitivity, and Stress Testing) and derivative pricing models (rates, foreign exchange and equity).
• Demonstrate outstanding quantitative, communication and presentation skills.
Qualifications
• Master’s or PhD. degree in a quantitative field, e.g. Finance, Mathematics, Engineering.
• Strong understanding of fixed-income and derivative products including valuation and price movement drivers; exposure to various trading products (bonds, MBS, futures, options, credit-default swaps, rates and FX derivatives) is required.
• 1-3 years of experience in quantitative analytics, CFA charter holder, FRM a plus.
• Knowledge of market risk metrics and model methodology.
• Strong programming skills with SQL, Java, XML and Excel VBA.
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.