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 India

MUFG India is an employer hiring in India. In its own words: "三菱UFJフィナンシャル・グループは、高いグループ総合力、国内外で充実したネットワークを有する、総合金融グループです。."

CA Samaaj lists MUFG India's current India openings for finance, accounts, audit and tax professionals, taken from its official careers site (mufgub.wd3.myworkdayjobs.com) and checked regularly to remove closed jobs. Recent roles are based in Bengaluru, Mumbai and New Delhi.