Do you want your voice heard and your actions to count? Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), one of the world’s leading financial groups. Across the globe, we’re 150,000 colleagues, striv…
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Do you want your voice heard and your actions to count? Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), one of the world’s leading financial groups. Across the globe, we’re 150,000 colleagues, striv…
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Do you want your voice heard and your actions to count? Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), one of the world’s leading financial groups. Across the globe, we’re 150,000 colleagues, striv…
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Do you want your voice heard and your actions to count? Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), one of the world’s leading financial groups. Across the globe, we’re 150,000 colleagues, striv…
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Do you want your voice heard and your actions to count? Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), one of the world’s leading financial groups. Across the globe, we’re 150,000 colleagues, striv…
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Do you want your voice heard and your actions to count? Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), one of the world’s leading financial groups. Across the globe, we’re 150,000 colleagues, striv…
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Do you want your voice heard and your actions to count? Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), one of the world’s leading financial groups. Across the globe, we’re 150,000 colleagues, striv…
Do you want your voice heard and your actions to count? Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), one of the world’s leading financial groups. Across the globe, we’re 150,000 colleagues, striv…
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Full-time
postgraduate degree
Posted 31d ago
~40 hrs/week
Responsibilities
Responsible for the development, maintenance, and validation of market and counterparty credit risk models including PFE, SIMM, and VaR. The role involves collaborating with IT and risk management teams to implement system changes and prepare performance reports for committees.
Requirements
Requires 2-5 years of experience in a regulated financial institution with a strong understanding of financial derivatives and stochastic calculus. A postgraduate degree in a highly numerate field such as Finance, Maths, or Computer Science is required.
Full job description
Do you want your voice heard and your actions to count?
Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), one of the world’s leading financial groups. Across the globe, we’re 150,000 colleagues, striving to make a difference for every client, organization, and community we serve. We stand for our values, building long-term relationships, serving society, and fostering shared and sustainable growth for a better world.
With a vision to be the world’s most trusted financial group, it’s part of our culture to put people first, listen to new and diverse ideas and collaborate toward greater innovation, speed and agility. This means investing in talent, technologies, and tools that empower you to own your career.
Join MUFG, where being inspired is expected and making a meaningful impact is rewarded.
Risk Analytics Group (RAG) is a specialized area within the Risk Management Division, responsible for Market Risk Models, Capital Models, Counterparty Exposure Models, Credit Models and Initial Margin models.
The successful candidate will be part of the team that is responsible for the development and maintenance of the Potential Future Exposure (PFE), SIMM, VaR, Stress Testing and capital models. These models are used for internal control as well as regulatory capital. The models calculate exposure and capital for multiple business lines including Rates, FX, Credit, Equity and Securities Financing.
The candidate will work closely with other team members in RAG, market risk management, counterparty credit risk management, IT development teams, and model risk management. The successful candidate will work in an inclusive and proactive way, ensuring that the team takes the lead in new model development and resolves issues as they arise, communicating clearly in management reports.
Roles and Responsibilities
In this role, you will be responsible for market and counterparty credit risk modelling across MUFG’s banking and securities businesses. You will:
Assist with risk model development and maintenance
Develop, maintain and improve market and counterparty risk models
Design and run model validation tests, for both model assumptions and implementation. Investigate issues and propose changes where there are model weaknesses.
Support model risk management requirements including model documentation, model validation and model performance monitoring.
Specify and test system changes to implement improvements.
Improve existing operational controls around the exposure models and propose new ones to increase robustness.
Support business and risk management requests in investigations into exposure calculations for specific trades.
Ad-hoc projects as required, including collaboration with market and counterparty credit risk management and model risk management.
Prepare summary reporting for working groups and committees that review model performance
Investigating issues
Ad-hoc projects as required
Proactively contribute to wider Risk function initiatives and projects.
Job Requirements:
Required
2–5 years of experience in a banking, financial services, or other regulated financial institution environment, preferably in a model development role
Understanding of financial markets and products including derivatives
Knowledge of derivative pricing principles
Knowledge of stochastic calculus
Familiarity with Python, R, Excel and VBA
Desirable
Understanding of market and counterparty risk exposure measures such as VaR, PFE, EE, CVA, Stress Testing
Experience in a risk-related role
Knowledge of advanced programming languages (C#, C++)
Education / Qualifications:
Finance or highly numerate education (Maths, Statistics, Engineering, Computer Science) at MSc level or above
Personal Requirements
Excellent communication skills with the ability to adjust to different audiences.
Highly motivated and innovative, able to work on own initiative.
Excellent accuracy and attention to detail with an analytical mind-set
Good team player with professional attitude
Good time management and ability to prioritize.
Ability to manage large workloads and tight deadlines, balancing urgent tasks and longer-term projects.
Strong decision-making skills, the ability to demonstrate sound judgement
Strong problem-solving skills
Strong numerical skills
Mitsubishi UFJ Financial Group (MUFG) is an equal opportunity employer. We view our employees as our key assets as they are fundamental to our long-term growth and success. MUFG is committed to hiring based on merit and organsational fit, regardless of race, religion or gender.
Offices: 2-7-1, Marunouchi, Chiyoda-ku, Tokyo 100-8330, JP · 400 California St, San Francisco, CA 94104, US · 1970 Franklin St, Oakland, CA 94612, US · 445 S Figueroa St, Los Angeles, CA 90071, US · 1221 6th Ave, New York, NY 10020, US
Offices: 2-7-1, Marunouchi, Chiyoda-ku, Tokyo 100-8330, JP · 400 California St, San Francisco, CA 94104, US · 1970 Franklin St, Oakland, CA 94612, US · 445 S Figueroa St, Los Angeles, CA 90071, US · 1221 6th Ave, New York, NY 10020, US