Quantitative Model Validation Associate

1 month ago

Toronto, Ontario, Canada MUFG Full time
Model Validation Quantitative Associate - Market Risk

Are you passionate about ensuring the accuracy and reliability of financial models? Do you have a strong background in quantitative analysis and risk management? We're seeking a highly skilled Model Validation Quantitative Associate - Market Risk to join our team at MUFG.

Key Responsibilities:
  • Validate numerical, statistical, and mathematical models related to market risk, ensuring their conceptual soundness, data integrity, and computational accuracy.
  • Assess the mathematical, statistical, and theoretical soundness of each model, identifying potential risks and areas for improvement.
  • Verify model performance under stress and extreme input conditions, ensuring they behave as expected.
Program Enhancement:
  • Contribute to the development, maintenance, and implementation of the Bank's Model Risk Management Program.
  • Establish 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, recommending management action plans and tracking remediation progress.
  • Perform annual inventory reviews to ensure model risk is properly managed.
Collaboration:
  • Support relationships with regulators and internal audit, ensuring compliance with regulatory requirements.
Requirements:
  • Experience in numerical and statistical tools such as Python, C, SAS, MATLAB, or R.
  • Strong model risk management and associated regulatory requirements, such as OCC 2011-12 and Basel II, III, and Volker rule.
  • 2-5 years of experience in the financial services industry, with a focus on capital markets and fixed income valuation.
  • Advanced degree in mathematics, finance, computer science, statistics, operational research, economics, or other quantitative fields.

We offer a dynamic and collaborative work environment, with opportunities for professional growth and development. If you're passionate about model validation and risk management, we encourage you to apply for this exciting opportunity at MUFG.

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