Model Validation Quantitative Associate– Market Risk

5 months ago

Toronto, Canada MUFG Full time

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 The job description and related application pertains to an opportunity with either MUFG Bank, Ltd., Canada Branch (“MUFG Bank Canada”) or MUFG Securities (Canada), Ltd. (“MUFG Securities Canada”). The job description relates to the general nature, scope, quantity and quality of work contemplated for the position. Other duties and responsibilities not specifically described may be assigned from time to time, consistent with knowledge, skills and abilities of the incumbent. The receipt of an application by either MUFG Bank Canada or MUFG Securities Canada, as applicable, does not imply or guarantee employment.Each of MUFG Bank Canada and MUFG Securities Canada is an equal opportunity employer.•As a federally regulated entity, MUFG Bank Canada is required to comply with applicable laws which prohibit discrimination based on protected grounds and which require accommodation to individuals in accordance with the requirements outlined in the Canadian Human Rights Act and the Canada Labour Code. Where MUFG Bank Canada obtains information relating to protected grounds under the Canadian Human Rights Act as part of the application process, it does so to monitor and otherwise evaluate its own compliance with such legislation and associated regulatory requirements; MUFG Bank Canada does not use such information for decision making purposes relating to the position contemplated in this application.•As a provincially regulated entity, MUFG Securities Canada is required to comply with applicable laws which prohibit discrimination based on protected grounds and which require accommodation to individuals in accordance with the requirements outlined in the Human Rights Code (Ontario) and the Employment Standards Act (Ontario). Where MUFG Securities Canada obtains information relating to protected grounds under the Human Rights Code (Ontario) as part of the application process, it does so to monitor and otherwise evaluate its own compliance with such legislation and associated regulatory requirements; MUFG Securities Canada does not use such information for decision making purposes relating to the position contemplated in this application.

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