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About the Role
This quantitative analyst role within Quantitative Risk Control (QRC) supports best-practice model risk activities consistent with the MUFG UB Model Governance Program. The models are used in Global trading, Capital market activities, Securitization, and investment banking.
Responsibilities
- Perform independent model validation and performance monitoring.
- Assess conceptual soundness, evaluate model assumptions and data integrity.
- Test model numerical, statistical, and computational accuracy.
- Perform outcomes analysis.
- Review model governance and control processes.
- Assess the mathematical, statistical, theoretical, and conceptual soundness of each model.
- Verify model performance, including correct implementation, limiting behavior, and response to stress/extreme input conditions.
- Support relationships with regulators and internal audit.
Requirements
- 2 to 5 years of experience in the financial services industry or equivalent academic experience.
- Proven track record of strong technical model development, validation, and oversight in areas such as market risk pricing, stress testing, securitization, Capital market/Trading Pricing and Risk models, IPV models, Rates, Options, and FX.
- Working knowledge in at least one numerical and statistical tool.
- Knowledge of model risk management and associated regulatory requirements (e.g., FRB SR 26-2, Volker rule). FRTB is a plus.
- Excellent verbal and written communication skills.
- Experience in global trading and capital markets, IPV models, Interest Rates and Currencies pricing and risk management is preferred.
- Experience with RiskMetrics, Calypso, Murex, QuIC, PolyPaths is preferred.
Skills
- Model development
- Model validation
- Model oversight
- Market risk pricing
- Stress testing
- Securitization (ABS/CLO/CMBS)
- Capital market/Trading Pricing and Risk models
- IPV models
- Rates pricing and risk management
- Options pricing and risk management
- FX pricing and risk management
- Numerical and statistical tools
- Model risk management
- Regulatory requirements
- Global trading
- Capital markets
- Interest Rates pricing and risk management
- Currencies pricing and risk management
- RiskMetrics
- Calypso
- Murex
- QuIC
- PolyPaths
Location
- Global
Work Type
- Full-time
Experience Level
- 2 to 5 years
Education Level
- Advanced degree in mathematics, finance, computer science, statistics, operational research, economics, or other quantitative fields.
About the Company
- Mitsubishi UFJ Financial Group (MUFG) is one of the world’s leading financial groups with 150,000 colleagues globally.
- MUFG strives to make a difference for every client, organization, and community served.
- MUFG stands for its values: building long-term relationships, serving society, and fostering shared and sustainable growth for a better world.
- MUFG's vision is to be the world’s most trusted financial group.
- MUFG's culture prioritizes people, new and diverse ideas, and collaboration for innovation, speed, and agility.
- MUFG invests in talent, technologies, and tools to empower employee careers.
- The job description pertains to opportunities with MUFG Bank, Ltd., Canada Branch (“MUFG Bank Canada”) or MUFG Securities (Canada), Ltd. (“MUFG Securities Canada”).
Equal Opportunity
- Each of MUFG Bank Canada and MUFG Securities Canada is an equal opportunity employer.
- MUFG Bank Canada is required to comply with applicable laws prohibiting discrimination based on protected grounds and requiring accommodation in accordance with the Canadian Human Rights Act and the Canada Labour Code.
- MUFG Bank Canada uses information relating to protected grounds solely to monitor and evaluate compliance with legislation and regulatory requirements, not for decision-making purposes.
- MUFG Securities Canada is required to comply with applicable laws prohibiting discrimination based on protected grounds and requiring accommodation in accordance with the Human Rights Code (Ontario) and the Employment Standards Act (Ontario).
- MUFG Securities Canada uses information relating to protected grounds solely to monitor and evaluate compliance with legislation and regulatory requirements, not for decision-making purposes.