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Quantitative Model Risk Analyst

2 months ago

London, Greater London, United Kingdom MUFG Securities EMEA plc Full time
About the Role

We are seeking a highly skilled Quantitative Model Risk Analyst to join our Enterprise Risk Management team in MUFG Securities EMEA plc. As a key member of our team, you will be responsible for independent model validation of derivative pricing methodologies, ensuring that our models are accurate, reliable, and compliant with regulatory requirements.

Key Responsibilities
  • Validate pricing models to ensure accuracy and reliability
  • Design, model, and prototype challenger models to test and improve existing models
  • Perform quantitative analysis and review of model frameworks, assumptions, data, and results
  • Test numerical implementations and review documentation of models
  • Ensure adherence to governance requirements and regulatory standards
  • Document findings in validation reports, including recommendations for model improvements
  • Track remediation of validation recommendations
Requirements

To be successful in this role, you will need:

  • A strong background in math and probability theory, applied to finance
  • Good knowledge of data science and statistical inference techniques
  • Good understanding of financial products and markets
  • Proficiency in programming languages such as Python or R
  • Good knowledge of simulation and numerical methods
  • Awareness of latest technical developments in financial mathematics, pricing, and risk modeling
What We Offer

We offer a competitive salary and benefits package, as well as opportunities for professional growth and development. If you are a motivated and detail-oriented individual with a passion for quantitative analysis, we encourage you to apply for this exciting opportunity.