Credit Risk Modeling Analyst

2 months ago

Toronto, Canada MUFG Canada Full time

**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.

**Job Summary**:
The role will support the Vice President in the Wholesale Credit Risk Modeling Team within the Credit Strategies Group (CSG). This position offers a challenging yet intellectually stimulating and collegial environment. The primary responsibilities include modeling credit risk for Credit Scorecard projects, automating model production processes, and researching and developing Machine Learning solutions for credit risk models. This role emphasizes financial and statistical modeling, as well as the computer science aspects of these areas.

**Key Accountabilities**:
Statistical Modeling:

- Developing and maintaining credit risk Scorecard models, such as Probability of Default and Loss Given Default Models. Also other credit risk related models such as IFRS 9 and Stress Testing models.
- Playing a key role in advancing Machine Learning and automation initiatives, including data collection and preparation, feature engineering, parameter tuning, and exploring new academic approaches.
- Collaborating with model validation and governance teams to develop methods and metrics for relevant model validation.
- Creating reports and presentations for the Group Manager and Senior

Management. 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:

- Providing support to the Group Manager on other initiatives such as Machine Learning rating model, and related quantitative researches.

**Technical Skills**:

- Strong programming skills in at least one of Python, SAS or R
- Strong skills in statistical modeling and machine learning methods, including Regression (Linear/Logistic etc.), Decision Tree models such as Gradient Boosting Machines, and Neural Networks.
- Proficient in data querying languages: SAS/SQL
- Proficient in Microsoft Office Programs: Word, Power Point, and Excel
- Sound knowledge of credit products, principles, rules, guidelines, policies, approvals and understanding of credit terminologies in banking industry.

**Experience and Abilities**:

- Relevant experience in financial/economic modeling and/or Scorecard modeling preferred through prior internship, undergraduate/graduate level research, or work position.
- 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**:
Bachelor's degree or higher in a quantitative or computer programing field such as Quantitative Finance, Economics, Statistics, Mathematics or Computer Science.

Each of MUFG Bank Canada and MUFG Securities Canada is an equal opportunity employer.

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