Model Validation Quantitative Associate- Market Risk
6 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.
General Responsibilities:
- Responsible for Independent Model validation and performance monitoring such as assessing the conceptual soundness, evaluating model assumptions and data integrity, testing model numerical, statistical, and/or computational accuracy, performing outcomes analysis, and reviewing model governance and control process.
- Assess the mathematical, statistical, theoretical and conceptual soundness of each model. Validate numerical, statistical, and mathematical model related to market risk: assessing the conceptual soundness, evaluating model assumptions and data integrity, computational accuracy, performing outcomes analysis, and reviewing model governance and control process.
- Verify model performance, i.e. correct implementation, limiting behaving, and response to stress/extreme input condition-stress testing.
Program Enhancement:
- Assist in developing, maintaining, and implementing the Bank's Model Risk Management Program.
- Contribute to establishing standards for managing areas of model risk: Development and implementation, governance and documentation, and model performance.
- Consult with model users on the design of effective model operational controls.
Maintain Model Inventory:
- Conduct model/non-model assessment
- Coordinate the resolution of findings with model owners and users, recommend management action plans, and track remediation progress.
- Perform Annual Inventory review
Collaboration:
- Support relationship with regulators and internal audit.
Technical Skills:
- Experience in at least one of the following numerical and statistical tools: Python, C, SAS, MATLAB, R etc.
- Strong model risk management and associated regulatory requirements such as OCC 2011-12 and Basel II, III, Volker rule, FRTB a plus
Experience and Abilities:
- 2 to 5 years of experience within the financial services industry. 2+ years' experience within Capital Markets, Fixed Income valuation
- Proven track record of strong technical model development, model validation, and model oversight in one or more of the following areas: Capital market/Trading Pricing and Risk models, IPV models, Rates, Options and FX, stress testing, securitization (ABS/CLO/CMBS)
- Strong analytical, logical reasoning and problem solving skills
Education and Training:
- Advanced degree in mathematics, finance, computer science, statistics, operational research, economics, or other quantitative fields
Working Conditions:
- Hybrid
Each of MUFG Bank Canada and MUFG Securities Canada is an equal opportunity employer.
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