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Quantitative Model Risk Analyst

2 months ago

London, Greater London, United Kingdom MUFG Bank, Ltd Full time
About the Role

We are seeking a highly skilled Quantitative Model Risk Analyst to join our Enterprise Risk Management team at MUFG Bank, Ltd. 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 for derivative products, including initial and periodic validation
  • Design, model, and prototype challenger models to ensure accuracy and reliability
  • 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
  • At least a first relevant experience in quantitative modelling (model development or validation) of pricing models
  • Good background in Math and Probability theory - applied to finance
  • Good knowledge of Data Science and Statistical inference techniques
  • Good understanding of financial products
  • Good programming level in Python or R or equivalent
  • Good knowledge of simulation and numerical methods
  • Awareness of latest technical developments in financial mathematics, pricing, and risk modelling
What We Offer

As a Quantitative Model Risk Analyst at MUFG Bank, Ltd, you will have the opportunity to work with a talented team of professionals, develop your skills and expertise, and contribute to the success of our organization. We offer a competitive salary and benefits package, as well as opportunities for career growth and professional development.