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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 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.

NUMBER OF DIRECT REPORTS

None

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 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 recommendationsPreparation of model risk reporting for Model Oversight Committee and Board

SKILLS AND EXPERIENCE

Experience :

Essential:

Extensive experience in quantitative modelling (model development or validation) in one or more of these topics:Market risk modelsCounterparty credit risk modelsDerivatives pricing 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 modelling

Beneficial:

Experience with AI modelsExperience with C++ or C# or equivalentUp-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 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.