Traded Risk Model Validation Associate
Overview of the Department/Section:
Mitsubishi UFJ Financial Group (MUFG) is one of the world's leading financial groups. Headquartered in Tokyo and with approximately 350 years of history, MUFG has a global network with 1,100 offices in over 40 countries. The Group has over 140,000 employees, offering services including corporate banking, commercial banking, retail banking, wealth management, investment banking, capital markets, personal and corporate trust, and transaction banking.
The Group's operating companies include Bank of Tokyo-Mitsubishi UFJ, Mitsubishi UFJ Trust and Banking Corporation (Japan's leading trust bank), and Mitsubishi UFJ Securities Holdings Co., Ltd., one of Japan's largest securities firms.
MUFG conducts securities business internationally through its overseas subsidiaries Mitsubishi UFJ Securities International plc, Mitsubishi UFJ Securities (USA) Inc., Mitsubishi UFJ Securities (Hong Kong), Ltd. and Mitsubishi UFJ Securities (Singapore), Ltd. With each member of the group working in partnership with one another, MUFG provides best in class service and products to corporate and institutional clients.
Mitsubishi UFJ Securities International (MUSI) is the European hub of MUFG's securities business. Headquartered in London we have just over 600 employees and are active throughout the international capital markets, focusing on debt, equity, derivatives and structured products. It is this vision and our corporate values that reflect who we are and guide how we behave. We therefore strive to recruit individuals who share our vision and values, and who have the motivation and commitment to help us move our business forward.
Independent Risk Validation (IRV) is responsible for the validation of all risk models used by MUSI. This includes market risk models used for regulatory capital purposes, as well as credit, operational and economic capital models which are used for risk measurement and decision-making purposes. IRV works closely with Risk Analytics and front office quants to ensure that all risk models are validated on a periodic basis as well as at inception and changes. IRV provides regular model risk reporting to model oversight committees and the Board.
Main purpose of the role:
We have an exciting opportunity within the IRV team for a model validation analyst. This individual will work with the IRV Director to ensure that all risk models are validated in line with regulatory requirements and industry best practice. In addition to the BAU validation work, the analyst will also be expected to assist in the development and enhancement of validation tests to ensure that MUSI's validation practice is cutting edge.
• Review of risk model documentation and t esting of implementation to assess conceptual soundness, implementation, data integrity, performance and adherence to governance requirements
• Documentation of validation testing and findings in validation reports, including raising recommendations for model improvements
• Development of new testing approaches for evaluation of risk models
• Tracking remediation of validation recommendations
• Preparation of model risk reporting for model oversight committees and Board
Skills and experience:
• Have experience coding in one or more of: VBA, C++, java, matlab, python;
• Have experience working with market or counterparty credit risk models (VaR, IRC, PFE)
• Have an understanding of typical financial instruments traded by IBs and how to value them;
• Have strong written communication skills with a focus on clearly explaining technical matters; and
• Keep up-to-date with developments in financial mathematics and risk modelling.
• Excellent communication skills
• A pro-active, motivated approach.
• A structured and logical approach to work
• Strong problem solving skills
• A creative and innovative approach to work
• Excellent attention to detail and accuracy
• Strong numerical skills
• A post-graduate degree in a quantitative discipline (e.g., mathematics, physics, mathematical finance, statistics)