Assistant Vice President, Model Risk Quantitative Analyst

London Full-Time No home office possible

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 120,000 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.

OVERVIEW OF THE DEPARTMENT/SECTION

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 Model Risk Management (MRM) within ERM is responsible for model governance and the validation of models used by MUFG in EMEA. This includes, among others, risk 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.

MAIN PURPOSE OF THE ROLE

Independent model validation of quantitative methodologies, both initial and periodic, across all asset classes and model types (derivative pricing models, credit and market risk, capital models, AI models, etc. ) and in line with regulatory requirements and industry best practice. The validation regularly requires an independent implementation of the models and the implementation of alternative challenger models.

KEY RESPONSIBILITIES

Initial and periodic validation of quant models
Designing, modelling and prototyping challenger models
Quantitative analysis and review of model frameworks, assumptions, data, and results
Testing models numerical implementations and reviewing documentations
Checking the adherence to governance requirements
Documentation of findings in validation reports, including raising recommendations for model improvements
Ensuring models are validated in line with regulatory requirements and industry best practice
Tracking remediation of validation recommendations

SKILLS AND EXPERIENCE

Essential:

At least a first relevant experience in quantitative modelling (model development or validation) in one or more of these topics:
Market risk models
Counterparty credit risk models
Derivatives pricing models

Optional:

Capital models (Economic/Regulatory)
Corporate credit risk models (IRB, PD/LGD/EAD)

Competencies:

Essential:

Good background in Math and Probability theory – applied to finance.
Good knowledge of Data Science and Statistical inference techniques.
Good understanding of financial products.
Good programming level in Python or R or equivalent.
Good knowledge of simulation and numerical methods
Awareness of latest technical developments in financial mathematics, pricing, and risk modelling

Beneficial:

Experience with AI models
Experience with C++ or C# or equivalent

Optional:

Up-to-date knowledge of regulatory capital requirements for market and credit risk

Education :

A Postgraduate degree in a quantitative discipline (e.g., statistics, mathematics, mathematical finance, econometrics)

PERSONAL REQUIREMENTS

Strong problem solving skills
Strong numerical skills
A structured and logical approach to work
Excellent attention to detail
Excellent written and oral communication skills
Ability to clearly explain technical matters
A pro-active, motivated approach

PERFORMANCE AND DUTIES

We are open to considering flexible working requests in line with organisational requirements.

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.

At MUFG, our colleagues are our greatest assets. Our Culture Principles provide a roadmap for how each of our colleagues must think and act to become more client-obsessed, inclusive and innovative. They reflect who we are, who we want to be and what we expect from one another. We are excited to see you take the next step in exploring a career with us and encourage you to spend more time reviewing them!

Our Culture Principles