AVP - Model Development

About Us:

MUFG Bank, Ltd. is Japans premier bank, with a global network spanning in more than 40 markets. Outside of Japan, the bank offers an extensive scope of commercial and investment banking products and services to businesses, governments, and individuals worldwide. MUFG Banks parent, Mitsubishi UFJ Financial Group, Inc. (MUFG) is one of the worlds leading financial groups. Headquartered in Tokyo and with over 360 years of history, the Group has about 120,000 employees and offers services including commercial banking, trust banking, securities, credit cards, consumer finance, asset management, and leasing.

The Group aims to be the worlds most trusted financial group through close collaboration among our operating companies and flexibly respond to all the financial needs of our customers, serving society, and fostering shared and sustainable growth for a better world. MUFGs shares trade on the Tokyo, Nagoya, and New York stock exchanges.

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MUFG Global Service Private Limited:

Established in 2020, MUFG Global Service Private Limited (MGS) is 100% subsidiary of MUFG having offices in Bengaluru and Mumbai. MGS India has been set up as a Global Capability Centre / Centre of Excellence to provide support services across various functions such as IT, KYC/ AML, Credit, Operations etc. to MUFG Bank offices globally. MGS India has plans to significantly ramp-up its growth over the next 18-24 months while servicing MUFGs global network across Americas, EMEA and Asia Pacific

About the Role

Position Title: Model Validation AVP. Corporate Title: Assistant Vice President Reporting to: Head of Model Risk Management Location: Bengaluru

Job Profile Position details

Main purpose of the role:

Independent model validation of quantitative methodologies, both initial and periodic, across all asset classes and model types (derivative pricing models, credit and market risk, capital models, AI models, etc. ) and in line with regulatory requirements and industry best practice. The validation regularly requires an independent implementation of the models and the implementation of alternative challenger models.

Roles and Responsibilities:

• Initial and periodic validation of quant models
• Designing, modeling and prototyping challenger models
• Quantitative analysis and review of model frameworks, assumptions, data, and results
• Testing models numerical implementations and reviewing documentations
• Checking the adherence to governance requirements
• Documentation of findings in validation reports, including raising recommendations for model improvements
• Ensuring models are validated in line with regulatory requirements and industry best practice
• Tracking remediation of validation recommendations

Job Requirements:

Experience :

Essential:

• At least 8 years of relevant experience in quantitative modelling (model development or validation) in one or more of these topics:
• Market risk models
• Counterparty credit risk models
• Derivatives pricing models Optional:
• Capital models (Economic/Regulatory)
• Corporate credit risk models(IRB, PD/LGD/EAD)

Competencies:

Essential:

• Good background in Math and Probability theory- applied to finance.
• Good knowledge of Data Science and Statistical inference techniques.
• Good understanding of financial products.
• Good programming level in Python or R or equivalent.
• Good knowledge of simulation and numerical methods
• Awareness of latest technical developments in financial mathematics, pricing, and risk modeling Beneficial:
• Up-to-date knowledge of modeling related UK regulatory requirements including Model Risk
• Experience with AI models
• Experience with C++ or C# or equivalent

Education :

• A Postgraduate degree in a quantitative discipline (e.g., statistics, mathematics, mathematical finance, econometrics)

Personal Requirements:

• Strong problem solving skills
• Strong numerical skills
• A structured and logical approach to work
• Excellent attention to detail
• Excellent written and oral communication skills
• Ability to clearly explain technical matters
• A pro-active, motivated approach

Equal Opportunity Employer:

The MUFG Group is committed to providing equal employment opportunities to all applicants and employees and does not discriminate on the basis of race, colour, national origin, physical appearance, religion, gender expression, gender identity, sex, age, ancestry, marital status, disability, medical condition, sexual orientation, genetic information, or any other protected status of an individual or that individual's associates or relatives, or any other classification protected by the applicable laws.