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Quantitative Model Risk Analyst

2 months ago

London, Greater London, United Kingdom MUFG Bank, Ltd Full time
Job Title: Assistant Vice President, Model Risk Quantitative Analyst

Join MUFG Bank, Ltd in shaping the future of financial risk management.

About the Role

We are seeking a highly skilled Assistant Vice President, Model Risk Quantitative Analyst to join our Enterprise Risk Management team. As a key member of our team, you will be responsible for independent model validation of derivative pricing methodologies, ensuring compliance with regulatory requirements and industry best practices.

Key Responsibilities
  • Validate pricing models and design challenger models to ensure accuracy and reliability
  • Conduct quantitative analysis and review of model frameworks, assumptions, data, and results
  • Test numerical implementations and review documentation
  • Ensure adherence to governance requirements and track remediation of validation recommendations
Requirements

To be successful in this role, you will need:

  • A postgraduate degree in a quantitative discipline (e.g., statistics, mathematics, mathematical finance, econometrics)
  • At least 1 year of 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
What We Offer

As a valued member of our team, you will have the opportunity to work with a diverse group of professionals, contribute to the development of our risk management framework, and enjoy a competitive compensation package.

At MUFG, we are committed to embracing diversity and building an inclusive culture where all employees are valued, respected, and their opinions count. 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.