MUFG Union Bank Quantitative Analyst - Fixed Income Derivatives - Model Risk Management Market Risk -- Vice President in New York, New York
Fixed Income Derivatives Model Risk Management Quantitative Analyst - Market Risk -- Vice President
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.
Job Summary: //
This Quantitative Analyst within the American Model Risk Management (AMRM) supports best-practice model risk activities consistent with the MUFG UB Model Governance Program
The models include those used within the various Business Units for supporting global market and trading, pricing, risk management, OTC derivatives, and FX
Responsible for Independent Model validation and performance monitoring of Fixed Income Derivative Valuation Models
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
An advanced Master's degree in mathematics, finance, computer science, statistics, operational research, economics, or other quantitative fields
A minimum of 5 to 7 years related Quantitative Analysis work experience within the financial services industry
Knowledge of derivative pricing theory, Monte Carlo simulation and numerical method
Experience in model development or model validation in one or more of the following areas: interest rate derivatives, FX derivatives, credit derivatives or VaR models
A working knowledge in at least one of the following programming languages: MATLAB, C, SAS, R and Visual Basic
Knowledge of model risk management and associated regulatory requirements such as OCC SR 11-7 and Basel, Volker rule, FRTB a plus
Industry certifications is a decisive asset (e.g., CFA, FRM).
Excellent verbal and written communication skills
Experience in CCAR, RiskMetrics, Calypso, Murex, PolyPaths and Bloomberg is a plus
We are committed to leveraging the diverse backgrounds, perspectives and experiences of our workforce to create opportunities for our people and our business. Equal Opportunity Employer Minority/Female/Disability/Veterans.
Job: *Risk & Compliance
Title: Quantitative Analyst - Fixed Income Derivatives - Model Risk Management Market Risk -- Vice President
Location: NEW YORK-New York
Requisition ID: 10008520-WD