Quantitative Analyst

2 weeks ago

Toronto, Canada MUFG Full time

**Quantitative Analyst, Quantitative Risk Control**

**Summary**:
**Accountabilities**:
Model Validation
- Independently validate quantitative models in global trading, market risk and pricing, and compliance
- Assessment of model conceptual soundness, evaluation of data and assumptions, testing model computational accuracy, and performing outcomes analysis (such as back-testing and benchmarking).
- Monitor model performance reports on an ongoing basis to ensure models remain valid.

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 quantitative process 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

**Experience**:

- 1-3 years experience within the financial services industry including knowledge of US regulatory requirements
- Strong verbal and written communication skills
- Strong project management skills
- Statistical modeling, data and multivariate analysis. Multiple Linear Regression, Lasso/Ridge Regressions, Decision Trees, Logit Modeling, Time Series Modeling, Monte Carlo Simulations.
- Computer programming skills
- Knowledge of US regulatory requirements including SR 11-7. Verbal and written communication skills and project management

***
**Education**:

- Master's or PhD in Financial Engineering, statistics, mathematics or related field

**Work Environment**
- Hybrid

**Other details**:

- Pay Type Salary

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