MUFG India | Model Development_Counterparty Credit Risk

Roles and responsibilities

• Risk Analytics Group (RAG) is a specialized area within the Risk Department, responsible for Market Risk Models, Capital Models, Counterparty Exposure Models, Portfolio and Credit Models, and Initial Margin models.
• The team members have strong quantitative skills and the team head reports to the regional and global Chief Risk Officer.
• The successful candidate will be a member of the Counterparty Exposure Metrics sub-team of RAG.
• Additionally, the team also has responsibility for the SIMM model used for Initial Margin, simulation models used to measure risk on structured financing trades and front office xVA models.
• The candidate will work closely with other team members in RAG, credit risk management, the IT development teams, risk model validators and Front Office.
• In this role, you will be responsible for counterparty risk modelling across MUFG’s banking arm and securities business under a dual-hat arrangement.
• Support the development, maintenance, and continuous enhancement of counterparty exposure models.
• Develop analytical methodologies and model enhancements to improve the accuracy, robustness, and efficiency of exposure measurement.
• Design and execute model testing and validation analyses, including assessment of model assumptions, methodology, implementation, and performance.
• Investigate model issues and limitations, identify root causes, and recommend appropriate remediation or enhancement activities.
• Develop and enhance operational controls and monitoring processes to strengthen the governance and robustness of exposure models.
• Support business, credit risk, and other stakeholders in analysing and resolving queries relating to exposure calculations and model outputs.
• Collaborate with Market Risk Analytics, Model Validation, and other partner teams on model enhancements, investigations, and strategic initiatives.
• Prepare management information, model performance reporting, and materials for working groups, committees, and governance forums.
• Contribute to ad hoc analytical investigations, regulatory initiatives, and strategic projects as required.

Requirements

• Exposure Models, Portfolio and Credit Models, and Initial Margin models.
• 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.
• Minimum 4 years of relevant experience in quantitative analytics, model development, model validation, counterparty risk, market risk, or a related risk management function within a financial institution.
• Understanding of financial markets and products, including derivatives.
• Knowledge of derivatives pricing principles and quantitative modelling techniques.
• Knowledge of probability theory, stochastic processes, and stochastic calculus.
• Proficiency in analytical and programming tools such as Python, R, Excel, and VBA.
• Strong analytical, problem-solving, and communication skills.
• Understanding of counterparty credit risk methodologies and exposure measures, including Expected.
• Exposure (PFE), and Credit Valuation Adjustment (CVA).
• Experience in a quantitative risk, counterparty risk, market risk, or model risk management role within the banking industry.
• Experience with Monte Carlo simulation techniques and exposure modelling frameworks.
• Knowledge of object-oriented programming languages such as C# or C++.

MUFG (Mitsubishi UFJ Financial Group)

Headquartered in Marunouchi, Tokyo, Mitsubishi UFJ Financial Group (MUFG) is the holding company of a Japanese banking and financial services group. It was established in 2001 and is listed in Tokyo, Nagoya and New York. Its main subsidiaries include MUFG Bank, Mitsubishi UFJ Trust and Banking and Mitsubishi UFJ Securities Holdings, along with Bank of Ayudhya (Krungsri) and Bank Danamon. MUFG opened its first Indian branch in Mumbai in 1953. MUFG Bank now has branches in Mumbai, New Delhi, Chennai, Bengaluru and Neemrana, plus a GIFT City branch opened in 2022, and since 2020 a wholly owned subsidiary, MUFG Global Service, has handled technology, operations, credit and KYC work from Bengaluru and Mumbai.

MUFG's finance-related roles in India cover internal audit (financial crime, finance and treasury reporting, risk, legal and IT), FP&A and finance process work, project, fund and leveraged finance, credit analysis, market, liquidity and counterparty credit risk modelling, KYC and compliance testing. They are based in Bengaluru, Chennai, Mumbai, New Delhi and GIFT City in Gandhinagar. Postings generally ask for a bachelor's degree in accounting, finance or business, and many name a Chartered Accountant, an MBA in Finance or a CFA as preferred; some audit roles also mention CIA or CAMS.

• Industry: Banking and financial services: corporate and investment banking, trust banking, securities and global markets
• Headquarters: Tokyo, Japan (Mitsubishi UFJ Financial Group, Inc.)
• In India: MUFG Bank, Ltd. branches in Mumbai, New Delhi, Chennai, Bengaluru, Neemrana and GIFT City (Gandhinagar); MUFG Global Service, a wholly owned subsidiary in Bengaluru and Mumbai