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Model Risk Quantitative Associate
Mitsubishi UFJ Financial Group
New York, NY, United States
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Description
Duties:Performing independent model development, model validation, model oversight and performance monitoring for quantitative models used by various business units to support global market and trading, pricing, risk management, Over-the-counter (OTC) derivatives, and Foreign Exchange (FX). Assessing the mathematical, statistical, theoretical and conceptual soundness of quantitative models. Evaluating model assumptions and data integrity, testing model numerical, statistical, and/or computational accuracy, performing outcomes analysis, and reviewing model governance and control process. Verifying model performance, including correct implementation, limiting behaving, and response to stress/extreme input condition-stress testing. Calibrating interest rate models using Hull-White, Black Karasinski and SABR. Writing code using MATLAB, C/C++, VBA, Bloomberg, and SQL. Supporting relationship with regulators and internal audit.
Qualifications
Education: Master’s Degree in Quantitative Finance or Financial Engineering (or foreign equivalent degree).
Experience: 2 years of experience in the Banking or financial services industry performing model development, model validation and model oversight in at least one of the following areas: global trading and capital market, interest rate pricing risk management, or OTC derivatives pricing/risk measurement; calibrating interest rate model using Hull-White, Black Karasinski, and SABR; and writing code using MATLAB, C/C++, VBA, Bloomberg, and SQL.
Employer: MUFG Union Bank, N.A.
Location: New York, NY
We are committed to leveraging the diverse backgrounds, perspectives and experience of our workforce to create opportunities for our people and our business; Equal Opportunity Employer: Minority/Female/Disability/Veteran.