MUFG India | Model Development_Market Risk

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 VaR and capital metrics sub-team of RAG.
• The team is responsible for the Market Risk models that support VAR/RNIV/IRC and related capital metrics.
• In addition, the team supports development of other market risk measures, including market risk stress models, Economic capital models and Interest Rate Risk in the Banking Book.
• The candidate will work closely with other team members in RAG, credit risk management, the IT development teams, risk model validators and Front Office.
• Assist with risk model development and maintenance.
• Develop, maintain and improve market risk models.
• Design and run model validation tests, for both model assumptions and implementation.
• Investigate issues and propose changes where there are model weaknesses.
• Improve existing operational controls around the exposure models and propose new ones to increase robustness.
• Support business and market risk department requests in investigations on specific issues.
• Prepare summary reporting for working groups and committees that review model performance.

Requirements

• Exposure Models, Portfolio and Credit Models, and Initial Margin models.
• Minimum 4 years of relevant experience in quantitative analytics, market risk, model development, model validation, 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.
• Strong data analysis and problem-solving skills, with the ability to analyse complex datasets and communicate findings effectively.
• Proficiency in analytical and programming tools such as Python, R, Excel, and VBA.
• Understanding of market risk methodologies and measures, including Value-at-Risk (VaR), Incremental Risk Charge (IRC), RNIV, and stress testing frameworks.
• Knowledge of statistical and quantitative techniques for time-series analysis and risk modelling.
• Knowledge of probability theory, stochastic processes, and stochastic calculus.
• 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