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Quantitative Model Validation Associate

2 months ago

Toronto, Ontario, Canada MUFG Full time
About the Role

MUFG is seeking a highly skilled Quantitative Model Validation Associate - Market Risk to join our team. As a key member of our Market Risk Management group, you will be responsible for ensuring the accuracy and reliability of our market risk models.

Key Responsibilities
  • Validate the mathematical and statistical soundness of market risk models, including assessing conceptual soundness, evaluating model assumptions, and testing numerical accuracy.
  • Perform outcomes analysis and review model governance and control processes to ensure compliance with regulatory requirements.
  • Verify model performance under stress and extreme input conditions through stress testing.
Program Enhancement
  • Assist in developing, maintaining, and implementing the Bank's Model Risk Management Program.
  • Contribute to establishing standards for managing model risk, including development, governance, and documentation.
  • Consult with model users on the design of effective model operational controls.
Maintain Model Inventory
  • Conduct model and non-model assessments to identify areas for improvement.
  • Coordinate the resolution of findings with model owners and users, recommend management action plans, and track remediation progress.
  • Perform annual inventory reviews to ensure compliance with regulatory requirements.
Collaboration
  • Support relationships with regulators and internal audit to ensure compliance with regulatory requirements.
Technical Skills
  • Experience with numerical and statistical tools, including Python, C, SAS, MATLAB, and R.
  • Strong knowledge of model risk management and associated regulatory requirements, including OCC and Basel II, III, and Volker rule.
Experience and Abilities
  • 2-5 years of experience in the financial services industry, with a focus on capital markets and fixed income valuation.
  • Proven track record of strong technical model development, model validation, and model oversight in areas such as capital market/trading pricing and risk models, IPV models, rates, options, and FX, stress testing, and securitization.
  • 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.