MUFG Canada | Model Risk Management Quant Associate/AVP- Market

Responsibilities

• The job description and related application pertains to an opportunity with either MUFG Bank, Ltd., Canada Branch (“MUFG Bank Canada”) or MUFG Securities (Canada), Ltd.
• The job description relates to the general nature, scope, quantity and quality of work contemplated for the position.
• Where MUFG Bank Canada obtains information relating to protected grounds under the Canadian Human Rights Act as part of the application process, it does so to monitor and otherwise evaluate its own compliance with such legislation and associated regulatory requirements; MUFG Bank Canada does not use such information for decision making purposes relating to the position contemplated in this application.
• Assess the mathematical, statistical, theoretical and conceptual soundness of each model.
• Verify model performance, i.e. correct implementation, limiting behaving, and response to stress/extreme input condition-stress testing.
• Support relationship with regulators and internal audit.
• Responsible for Independent Model validation and performance monitoring such as assessing the conceptual soundness, evaluating model assumptions and data integrity, testing model numerical, statistical, and/or computational accuracy, performing outcomes analysis, and reviewing model governance and control process.

Requirements

• Working knowledge in at least one of the numerical and statistical tools.
• Knowledgeable of model risk management and associated regulatory requirements such as FRB SR 26-2 and Volker rule, FRTB a plus.
• Industry certifications a plus (e.g., CFA, FRM).
• Excellent verbal and written communication skills.
• Experience in global trading and capital market, IPV models, Interest Rates and Currencies pricing and risk management is preferred.
• Experience in RiskMetrics, Calypso, Murex, QuIC, PolyPaths is preferred.
• Typically requires an advanced degree in mathematics, finance, computer science, statistics, operational research, economics, or other quantitative fields.
• Other duties and responsibilities not specifically described may be assigned from time to time, consistent with knowledge, skills and abilities of the incumbent.
• Proven track record of strong technical model development, model validation, and model oversight in one or more of the following areas: market risk pricing, stress testing, securitization (ABS/CLO/CMBS), Capital market/Trading Pricing and Risk models, IPV models, Rates, Options and FX.

MUFG Canada

MUFG Canada is an employer hiring in India.

Its finance, accounts, audit and tax openings in India are mostly in Toronto.