MUFG Union Bank Oprisk Quantitative Modeler, Associate in Monterey Park, California
Operational Risk Quantitative Modeler, Associate
Join a financial group that’s as committed to your future as you are. At MUFG, we share a vision for our future, we share our successes, and we strive to bring out the best in each other in everything we do. Our 14,000 diverse colleagues are connected by a common ambition to create change for the better—from forging more dynamic career paths, to driving progress in our communities, to continuously reshaping the standards of global financial services. Positive impact starts here; see the change you can make as we strive to become the world’s most trusted financial group.
Reporting to the Operational Risk Quantitative Analysis Manager, the Operational Risk Quantitative Modeler will be part of a team that is responsible for the construction and implementation of the bank’s Operational Risk (OpRisk) capital model. The OpRisk Quantitative Modeler will also be responsible for making updates to all related documentation, running the capital model from start to finish on a monthly and/or quarterly basis, and building components of stress test models. Also participate in ideation activities with other members of the modeling team.
• Run all components of the bank’s OpRisk capital model on a periodic basis 45%
• Coding/testing/debugging – write new statistical modeling routines; update/modify existing routines as needed. Statistical routines will include a variety of univariate and multivariate probability distributions, as well as Monte Carlo simulation programs. 15%
• Work with the Quantitative Analysis Mgr to recommend viable statistical approaches for addressing model needs. 15%
• Write/maintain model documentation 10%
• Conduct exploratory data analysis on the bank’s OpRisk data 10%
• Build components of the bank’s OpRisk stress test models 5%
• Should be proficient in probability theory and fitting data to probability distributions
• Should be well-versed and experienced in applied multiple regression analysis
• Should be experienced in working with multiple datasets
• Should be an advanced user of the following packages/languages:
SAS Modeling experience
MS Office packages such as Excel, Word.
R Modeling experience (plus, but not required)
SAS/STAT, SAS/IML (plus, but not required)
• Good verbal and written communication skills.
• Good presentation skills (a plus)
Education & Experience
• Requires a graduate degree in Actuarial Science, Economics, Finance, Mathematics, or Statistics (Ph.D. preferred) – emphasis on probability theory is preferred.
• Experience in analytics and/or quantitative areas within the financial services industry is a plus (not required).
• Experience (academic or professional) in the development and/or documentation of a large scale modeling effort is a plus.
• Financial Risk Management (FRM) industry certifications a plus, in particular, actuarial modeling certifications.
/ We are proud to be an Equal Opportunity/Affirmative Action Employer and committed to leveraging the diverse backgrounds, perspectives and experience of our workforce to create opportunities for our colleagues and our business. We do not discriminate in employment decisions on the basis of any protected category. /
Job: *Risk & Compliance
Title: Oprisk Quantitative Modeler, Associate
Location: CALIFORNIA-Monterey Park
Requisition ID: 10009370-WD