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Model Risk Management Quant Associate
Mitsubishi UFJ Financial Group
New York, NY, United States
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Description
Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG) the world’s 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 American Model Risk Management (AMRM) supports best-practice model risk activities consistent with the MUFG UB Model Governance Program.The models include those used within the various Business Units for supporting Global Market and Trading, Pricing of Derivatives, Market Risk Management, OTC derivatives across asset classes including Interest Rates, FX (Currencies), Equity, Securitized Products etc.
Major Responsibilities:
• Responsible for Independent Model validation and performance monitoring 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.
• Assess the mathematical, statistical, theoretical and conceptual soundness of each model.
• Verify model performance, i.e. correct implementation, limiting behaving, and response to stress/extreme input condition-stress testing.
• Support relationship with regulators and internal audit.
Qualifications
Additional Information:
• Typically requires an advanced degree in mathematics, finance, computer science, statistics, operational research, economics, or other quantitative fields. PhD preferred.
• 3 to 5 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: Global Trading and Capital Market, Interest Rate Risk Management, Asset & Liability management, OTC derivatives Pricing/Risk Measurement, VaR, P&L attribution, FX, back testing and stress testing.
• Working knowledge in at least one of the following numerical and statistical tools: Bloomberg, MATLAB, Fincad, C, R, SQL, Visual Basic etc.
• Knowledgeable of model risk management and associated regulatory requirements such as OCC 2011-12 and Basel, Volker rule, FRTB a plus
• Industry certifications a plus (e.g., CFA, FRM).
• Excellent verbal and written communication skills.
• Experience in RiskMetrics, Calypso, Murex, QuIC, PolyPaths, FX is preferred
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.