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Quantitative Analyst - Model Risk Management
Mitsubishi UFJ Financial Group
San Francisco, 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 Overview:
The Model Risk Quantitative Analyst within the Americas Model Risk Management (AMRM) Unit is responsible for executing best-practice model validation activities consistent with the Bank’s Model Governance Policy and ensuring business processes related to models are in compliance with applicable governance and policy requirements.
Major Responsibilities:
• Independently validate Bank models which will include an assessment of model conceptual soundness, evaluation of data and assumptions, testing model computational accuracy, and performing outcomes analysis (such as back-testing and bench-marking).
• Document and present observations to managers of the Americas Model Risk Management 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.
• The models include those used within the various Business Units for supporting financial reporting, risk management, decision-making, CCAR stress testing, and economic capital estimation.
Qualifications
• 3+ years of experience within the financial services industry.
• An advanced degree in finance, economics, statistics or related field (Master’s or PhD preferred) and industry certifications a plus (e.g., CFA, FRM).
• Proven track record of strong technical model development, model management, and/or model oversight in one or more of the following areas: CCAR stress testing, credit risk management (wholesale experience a plus), operational risk, and consumer lending.
• Knowledgeable about model risk management and associated regulatory requirements such as FRB SR 11- 7/OCC 2000-16.
• Strong project management capabilities.
• 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.