RPD - Quantitative Analyst - Risk

RPD - Quantitative Analyst - Risk

OVERVIEW OF THE DEPARTMENT/SECTION
Mitsubishi UFJ Financial Group, Inc. (MUFG) is one of the world's leading financial groups. Headquartered in Tokyo and with over 360 years of history, MUFG has a global network with around 3,000 offices in more than 50 markets. The Group has over 180,000 employees, and offers services including commercial banking, trust banking, securities, credit cards, consumer finance, asset management, and leasing.

Risk Analytics Group is a specialized area in the Risk Department with the team head reporting to the local and international CRO. The team members have strong quantitative skills and are responsible for Market Risk Models, Capital Models, Counterparty Exposure models and Pricing Model Validation.

NUMBER OF DIRECT REPORTS
Not applicable

MAIN PURPOSE OF THE ROLE
The successful candidate will be a member of the Market Risk & Capital metrics sub-team of RAG. The team is responsible for the Market Risk models that support VAR/IRC and related capital metrics. These models are used for internal control as well as regulatory capital via the IMA (Internal model based approach). The VAR model covers Rates, FX, Credit, inflation, and Equity. The sub team is supporting the current model and also the transition to FRTB regulations.

The candidate will work closely with other team members, market risk within risk, the IT development teams, project management teams and risk model validators. The successful candidate will work in an inclusive and proactive way, ensuring that the team is reactive to new model development and to resolving issues as they arise, and communicate clearly in reporting to management.

KEY RESPONSIBILITIES
  • Assist with risk model development and maintenance
  • Develop, maintain and improve Market risk models
  • Specifications for revised approach for updated approach to meet FRTB regulations
  • Design and run model validation tests, for both model assumptions and implementation. Investigate issues and propose
  • Plan changes where there are model weaknesses.
  • Specify and test system changes to implement improvements.
  • Improve existing operational controls around the models and propose new ones to increase robustness.
  • Support business and market risk department requests in investigations on specific issues.
  • Ad-hoc projects as required, including collaboration with market risk analytics and model validation.
  • Ad-hoc projects as required
  • Proactively contribute to wider Risk function initiatives and projects.


WORK EXPERIENCE
One or two years' experience within Financial services firm
SKILLS AND EXPERIENCE
Required
  • Solid quantitative skills (computer science or maths/statistics or finance higher education at MSc level or above)
  • Understanding of financial markets and products including derivatives
  • Familiarity with principles of pricing derivatives

Desirable

  • Experience of risk related role
  • Excellent Excel knowledge and experience of VBA/Python/R preferable

PERSONAL REQUIREMENTS
  • Excellent communication skills, with the ability to adjust to different audiences.
  • Highly motivated and innovative, able to work on own initiative
  • Excellent accuracy and attention to detail with an analytical mind-set
  • Good team player with professional attitude
  • Good time management and ability to prioritise
  • Ability to manage large workloads and tight deadlines, balancing urgent tasks and longer term projects

MUFG is committed to embracing diversity and building an inclusive culture where all employees are valued, respected and their opinions count. We support the principles of equality, diversity and inclusion in recruitment and employment, and oppose all forms of discrimination on the grounds of age, sex, gender, sexual orientation, disability, pregnancy and maternity, race, gender reassignment, religion or belief and marriage or civil partnership.

We make our recruitment decisions in a non-discriminatory manner in accordance with our commitment to identifying the right skills for the right role and our obligations under the law.