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Model Developer
2 months ago
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.
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.
Job Summary:
The AVP position is crucial for developing, maintaining, and updating MUFG Americas internal PD/LGD risk rating models. This role enhances risk management, ensures model compliance, and contributes to the bank’s financial stability by providing accurate risk assessments. The position covers the entire modeling process, from default data collection to implementation, supporting the bank’s long-term growth objectives and risk management purposes.
Key Accountabilities:
Model development and Maintenance:
- Model Development: Lead the creation of robust PD/LGD risk rating models, incorporating best practices and advanced statistical techniques.
- Data Management: Oversee the entire data life-cycle, including collection, verification, and consolidation, to ensure high-quality inputs for modeling.
- Model Segmentation and Analysis: Perform detailed segmentation and analysis to enhance model precision and predictive power.
- Implementation: Ensure seamless integration of models into the bank’s risk management framework, providing ongoing support and updates as needed.
Model Governance:
- Working with model validation and governance teams to develop methods and metrics for ensuring all models continue to perform as expected and within ranges agreed to by internal model audit and model management committees.
Develop and Maintain Key Contacts:
- Collaborating closely with business line and risk managers to assess and manage firm wide risk management.
New Initiatives:
- Applying strong risk knowledge to solve problems independently, without relying on daily supervision.
- Providing support to the Group Manager on other initiatives such as Machine Learning rating model, and related quantitative researches.
Technical Skills:
- Exceptional skills in quantitative methods and coding skills, including statistical analysis and quantitative modeling, are necessary. Solid programming skills such as Python, R and SAS required.
- Excellent interpersonal and presentation skills are a must, including the ability to lead and facilitate dialogue with business partners on key risk measurement issues, and the ability to collect pertinent data quickly and without unnecessary intrusion.
- Sound knowledge of credit products, principles, rules, guidelines, policies, approvals and understanding of credit terminologies in banking industry.
Experience & Abilities:
- 3+ years of relevant credit risk modeling experience in banking industry desired.
- Prior Basel II (PD/LGD/EAD models), IFRS 9 and stress testing experience a significant plus.
- Commitment to quality and accuracy with strong attention to details.
Education and Training:
- Bachelors degree or higher in quantitative field of study (e.g. statistics, mathematics, finance, or other quantitative field). Advanced degree preferred.
Working Conditions:
- Hybrid