Enterprise Risk Management (ERM) is responsible for supporting the EMEA Chief Risk Officer to implement an effective risk governance framework across MUFG EMEA, and providing a holistic view of the risks facing MUFG in EMEA, including environmental and social risk management. The department additionally performs risk appetite monitoring and reporting; scenario stress testing and capital adequacy assessments; recovery and resolution planning; model risk management; and new business and product risk governance.
The Model Risk Management team within ERM is responsible for model governance and the validation of all risk models used by MUFG in EMEA. This includes market risk models used for regulatory capital purposes, as well as credit, operational, economic capital and stress testing models which are used for risk measurement and decision-making purposes. MRM 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. MRM provides regular model risk reporting to model oversight committees and the Board.
Number of direct reports: Two
Main purpose of the role:
To lead the model risk management team to meet evolving best practice model governance and undertake independent risk model validation.
Responsible for developing and maintaining a robust model governance framework to meet evolving best practice.
Management of the model risk management team, including scoping and project managing risk model validations.
Maintaining model risk policies, procedures and implementing practices that provide effective oversight of model risks.
Responsible for carrying out and overseeing the team's independent validation of risk models, both initial and periodic across all risk types and asset classes. Validation includes theoretical review of model concept and statistical analysis, identifying model assumptions/limitations, implementation testing model components through independent rebuild (R, Matlab, etc.)
Production and issuance of validation reports
Tracking of actions and conditions raised through the validation process
Ongoing monitoring of risk model performance and escalation
Developing constructive relationships with risk management and other departments within the Firm
Minimum 10 years quantitative/ validation experience.
Model development or model validation of market risk and counterparty credit risk models
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
Skills and experience: Functional / Technical Competencies
Deep understanding of financial products.
Probability theory and random variables algebra
Statistical inference and hypothesis testing, other model validation techniques
Estimation theory and methods
Stochastic processes and stochastic calculus
Modelling and pricing of financial derivatives (Beneficial)
Analysing and modelling multivariate financial time series data (Beneficial)
Computer simulations and numerical approximation methods (Beneficial)
Ability to critically assess strengths and weaknesses of models.
Strong technical experience of Risk modelling and validation requirements.
Understanding of PRA requirements.
Education / Qualifications:
Postgraduate level education in quantitative subject
Excellent communication skills
Results driven, with a strong sense of accountability
A proactive, motivated approach.
The ability to operate with urgency and prioritise work accordingly
Strong decision making skills, the ability to demonstrate sound judgement
A structured and logical approach to work
Strong problem solving skills
A creative and innovative approach to work
Excellent interpersonal skills
The ability to manage large workloads and tight deadlines
Excellent attention to detail and accuracy
A calm approach, with the ability to perform well in a pressurised environment
Strong numerical skills
Excellent Microsoft Office skills
A confident approach, with the ability to provide clear direction to your team
Excellent managerial/leadership experience
The ability to lead a high performing team
A strategic approach, with the ability to lead and motivate your team
The ability to articulate and implement the vision/strategy for the Model Risk Management Team
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: 6285083
About MUFG Securities
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