Enterprise Risk Management (ERM) is responsible for supporting the EMEA Chief Risk Officer to implement an effective risk governance framework across MUFG EMEA. Independent Risk Validation (IRV) within ERM is responsible for the validation of all risk models used by MUFG EMEA. IRV works closely with Risk Analytics and front office quants to ensure that all risk models are validated on a periodic basis as well as at inception and changes. IRV provides regular model risk reporting to model oversight committees and the Board.
We have an exciting opportunity within the IRV team for a model validation analyst to work on market, counterparty, and credit risk models, as well as economic capital and stress testing models to ensure that they are validated in line with regulatory requirements and industry best practice.
Main purpose of the role:
Independent Model Validation for market risk, counterparty risk , credit risk , economic capital and stress testing models
Ensuring they are validated in line with regulatory requirements and industry best practice.
Review of risk model documentation and testing of implementation to assess conceptual soundness, numerical implementation, data integrity, performance and adherence to governance requirements
Documentation of validation testing and findings in validation reports, including raising recommendations for model improvements
Development of new testing approaches for evaluation of risk models
Tracking remediation of validation recommendations
Preparation of model risk reporting for Model Oversight Committee and Board
Skills and experience:
Candidates should be experienced in several of the following:
Probability theory and random variables algebra (Essential)
Statistical inference and hypothesis testing, other model validation techniques (Essential)
Estimation theory and methods (Essential)
Stochastic processes and stochastic calculus (Essential)
Modelling and pricing of financial derivatives (Beneficial)
Analysing and modelling multivariate financial time series data (Beneficial)
Computer simulations and numerical approximation methods (Beneficial)
Candidates should ideally have experience in:
Model development or model validation of market risk and counterparty credit risk models (Essential)
Model development or model validation of corporate credit risk models, i.e. IRB (Beneficial)
Model development or model validation of derivatives valuation models (Beneficial)
Stress testing or internal capital models (Beneficial)
Using one or more of: R, Matlab, python, VBA
Education / Qualifications:
A post-graduate degree in a quantitative discipline (e.g., statistics, mathematics, mathematical finance, econometrics) (Essential)
Awareness of latest technical developments in financial mathematics and risk modelling
Up-to-date knowledge of regulatory capital requirements for market and credit risk
Strong problem solving skills
A structured and logical approach to work
Excellent attention to detail and accuracy
Strong numerical skills
Excellent written and oral communication skills, with a focus on clearly explaining technical matters
A pro-active, motivated approach
A creative and innovative approach to work
MUFG is committed to embracing diversity and building an inclusive culture where all employees are valued, respected and their opinions count. We support the principles of equality, diversity and inclusion in recruitment and employment, and oppose all forms of discrimination on the grounds of age, sex, gender, sexual orientation, disability, pregnancy and maternity, race, gender reassignment, religion or belief and marriage or civil partnership.
We make our recruitment decisions in a non-discriminatory manner in accordance with our commitment to identifying the right skills for the right role and our obligations under the law.
Internal Number: 6105118
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