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Model Risk Mgmt Quant 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:
This quantitative analyst within the Model Risk Management Unit (MRMU) supports best-practice model risk activities consistent with the UB Model Governance Program, and helps ensuring the business processes related to models are in compliance with applicable governance and policy requirements. The models include those used within the various Business Units for supporting financial reporting, pricing, risk management, decision-making, Basel II risk weighted assets calculations, and economic capital estimation. This position reports to one of the Model Risk managers and involves significant interaction with business and modeling personnel within the various Bank business units.
Major Responsibilities:
• Responsible for helping model risk management program at the Bank: Model risk management activities include, but are not limited to, model validation such as assessing the conceptual soundness, evaluating model assumptions and data integrity, testing model numerical, statistical, and/or computational accuracy, performing outcomes analysis, and reviewing model governance and control process.
• Document and present observations to the MRMU team and to model owners and users, recommend management action plans, and track remediation progress.
• Monitor model performance reports on an on-going basis to ensure models remain valid
• Support the creation and maintenance of the enterprise-wide model inventory, model control standards, and model risk ranking
Qualifications
Additional Information:
• Typically requires an advanced degree in finance, statistics, operational research, mathematics, economics, or other quantitative fields.
• Working knowledge in at least one of the following numerical and statistical tools: SAS, MATLAB, S-Plus, R.
• 2 to 4 years of experience within the financial services industry and/or equivalent academic experience.
• Proven track record of strong technical model development, model validation, and/or model oversight in one or more of the following areas: credit risk management, market/interest rate risk management, asset & liability management, PD/LGD/EAD estimation, economic capital calculation.
• Strong project management capabilities.
• Knowledgeable of model risk management and associated regulatory requirements such as OCC 2011-12, SR 11-7, and SR 15-19 a plus. Industry certifications a plus (e.g., CFA, FRM).
• Excellent verbal and written communication skills.
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.