• Job Description

  Req#: 10062611-WD

  Do you want your voice heard and your actions to count?

  Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), the 7th largest financial group in the world. Across the globe, we’re 160,000 colleagues, striving to make a difference for every client, organization, and community we serve. We stand for our values, building long-term relationships, serving society, and fostering shared and sustainable growth for a better world.

  With a vision to be the world’s most trusted financial group, it’s part of our culture to put people first, listen to new and diverse ideas and collaborate toward greater innovation, speed and agility. This means investing in talent, technologies, and tools that empower you to own your career.

  Join MUFG, where being inspired is expected and making a meaningful impact is rewarded.

  OVERVIEW OF THE DEPARTMENT/SECTION

  Risk Analytics Group (RAG) is a specialised area within the Risk Department, responsible for Market Risk Models, Capital Models, Counterparty Exposure Models, Credit Models and Initial Margin models. The team members have strong quantitative skills and the team head reports to the local and international Chief Risk Officer.

  MAIN PURPOSE OF THE ROLE

  The successful candidate will be a member of the Counterparty Exposure Metrics sub-team of RAG. The team is responsible for the development and maintenance of the Potential Future Exposure (PFE) models that are used to measure Counterparty Exposure. These models are used for internal control limits and partly in economic capital calculations. The PFE is calculated in Markit fraimWRX cloud platform and covers Rates, FX, Credit, inflation, Equity and Bond Spreads, and covers derivatives, Repo and Securities lending transactions.

  In addition to the main PFE model, the team also has responsibility for the SIMM model used for Initial Margin, and the simulation model used to measure risk on structured financing trades. The team also covers model validation for the front office xVA model and it enhancements.

  The candidate will work closely with other team members in RAG, credit risk management, the IT development teams, risk model validators and Front Office. The successful candidate will work in an inclusive and proactive way, ensuring that the team takes the lead in new model development and resolves issues as they arise, communicating clearly in management reports.

  KEY RESPONSIBILITIES

  In this role, you will be responsible for counterparty risk modelling across MUFG’s banking arm and securities business under a dual-hat arrangement. Under this arrangement, you will act and make decisions on behalf of both the bank and the securities business, subject to the same remit and level of authority, and irrespective of the entity which employs you. You will:

  • Assist with risk model development and maintenance
  • Develop, maintain and improve counterparty exposure models
  • Design and run model validation tests, for both model assumptions and implementation. Investigate issues and propose changes where there are model weaknesses.
  • Specify and test system changes to implement improvements.
  • Improve existing operational controls around the exposure models and propose new ones to increase robustness.
  • Support business and credit department requests in investigations into exposure calculations for specific trades.
  • Ad-hoc projects as required, including collaboration with market risk analytics and model validation.
  • Prepare summary reporting for working groups and committees that review model performance
  • Investigating issues
  • Ad-hoc projects as required
  • Proactively contribute to wider Risk function initiatives and projects.

  WORK EXPERIENCE

  Essential:

  • Previous experience in pricing models

  Preferred:

  • Previous experience in exposure models
  • Experience in SIMM model
  • Experience in economic capital

  SKILLS AND EXPERIENCE

  Required

  • Understanding of financial markets and products including derivatives
  • Knowledge of principles of derivatives pricing
  • Knowledge of stochastic calculus
  • Familiarity with Python, R, Excel and VBA

  Desirable

  • Understanding of counterparty exposure measures such as PFE, EE, CVA
  • Experience in a risk-related role
  • Knowledge of advanced programming languages (C#, C++)

  Education / Qualifications:

  • Finance or highly numerate education (Maths, Statistics, Engineering, Computer Science) at MSc level or above

  PERSONAL REQUIREMENTS

  • Excellent communication skills with the ability to adjust to different audiences
  • Highly motivated and innovative, able to work on own initiative
  • Excellent accuracy and attention to detail with an analytical mind-set
  • Good team player with professional attitude
  • Good time management and ability to prioritise
  • Ability to manage large workloads and tight deadlines, balancing urgent tasks and longer term projects
  • Strong decision making skills, the ability to demonstrate sound judgement
  • Strong problem solving skills
  • Strong numerical skills

  We are open to considering flexible working requests in line with organisational requirements.

  MUFG is committed to embracing diversity and building an inclusive culture where all employees are valued, respected and their opinions count. We support the principles of equality, diversity and inclusion in recruitment and employment, and oppose all forms of discrimination on the grounds of age, sex, gender, sexual orientation, disability, pregnancy and maternity, race, gender reassignment, religion or belief and marriage or civil partnership.

  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.

• About the company

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