Quantitative Model Validator for Risk Management

1 month ago


London, Greater London, United Kingdom MUFG Americas Full time
About the Role

In this exciting opportunity, you will play a critical role in ensuring the accuracy and reliability of our quantitative models used for risk management purposes. As a Quantitative Model Validator, you will be responsible for validating these models to ensure they meet regulatory requirements and industry best practices.

Responsibilities
  • Initial and periodic validation of quant models to ensure compliance with regulatory requirements and industry standards
  • Designing, modeling, and prototyping challenger models to verify the robustness of existing models
  • Performing quantitative analysis and review of model frameworks, assumptions, data, and results to identify potential issues
  • Testing numerical implementations and reviewing documentations to ensure accuracy and completeness
  • Verifying adherence to governance requirements and documenting findings in validation reports
  • Raising recommendations for model improvements and tracking remediation efforts
  • Preparing model risk reporting for senior stakeholders, including the Board and Model Oversight Committee
Requirements

To succeed in this role, you will need:

  • Extensive experience in quantitative modeling (model development or validation) with a strong background in market risk models, counterparty credit risk models, and derivatives pricing models
  • Good knowledge of Math and Probability theory applied to finance, as well as Data Science and Statistical inference techniques
  • Strong understanding of financial products and markets, with good programming skills in Python or R (or equivalent)
  • Awareness of latest technical developments in financial mathematics, pricing, and risk modeling
About MUFG Americas

MUFG Americas is a leading financial group with a global presence. Our team is dedicated to providing exceptional service and innovative solutions to our clients. We offer a dynamic and supportive work environment, with opportunities for growth and professional development.

The estimated salary range for this position is $120,000 - $180,000 per year, depending on experience and qualifications. This figure is based on industry standards and location considerations. If you are passionate about risk management and have a strong background in quantitative modeling, we encourage you to apply.



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