Assistant Vice President, Model Risk Quantitative Analyst page is loaded Assistant Vice President, Model Risk Quantitative Analyst Apply locations London time type Full time posted on Posted 3 Days Ago job requisition id 10066636-WD Do you want your voice heard and your actions to count? Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), the 7th largest financial group in the world. 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.
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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 EMEA Model Risk Management (EMRM) within ERM is responsible for model governance and the validation of models used by MUFG in EMEA. This includes, among others, derivative pricing models, risk models used for risk measurement and decision-making purposes, capital models, AI models, etc.
EMRM works closely with all stakeholders including Risk Analytics and Front Office quants to ensure that all models are validated on a periodic basis as well as at inception and changes. EMRM provides regular model risk reporting to model oversight committees and the Board.
MAIN PURPOSE OF THE ROLE Independent model validation of derivative pricing methodologies, both initial and periodic, across all asset classes and model types 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 pricing modelsDesigning, modelling and prototyping challenger modelsQuantitative analysis and review of model frameworks, assumptions, data, and resultsTesting models numerical implementations and reviewing documentationsChecking the adherence to governance requirementsDocumentation of findings in validation reports, including raising recommendations for model improvementsEnsuring models are validated in line with regulatory requirements and industry best practiceTracking remediation of validation recommendationsSKILLS AND EXPERIENCE Experience : Essential:
At least a first relevant experience in quantitative modelling (model development or validation) of pricing modelsOptional:
Experience in any of other model types (AI models, Market risk models, Counterparty credit risk models, Capital models)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 methodsAwareness of latest technical developments in financial mathematics, pricing, and risk modellingBeneficial:
Experience with C++ or C# or equivalentOptional:
Experience with AI modelsEducation : A Postgraduate degree in a quantitative discipline (e.g., statistics, mathematics, mathematical finance, econometrics)PERSONAL REQUIREMENTS Strong problem solving skillsStrong numerical skillsA structured and logical approach to workExcellent attention to detailExcellent written and oral communication skillsAbility to clearly explain technical mattersA pro-active, motivated approach 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.
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