Model Risk Management Quant Associate/AVP- Market

MUFG Bank, Ltd. • $90K — $110K *

Toronto, ON M3C 0E3In-Person

Finance & Insurance

Less than 5 years of experience

Today

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Job Overview by Ladders

Qualifications

2 to 5 years in financial services or equivalent academic experience.
Strong track record in technical model development and validation in market risk areas.
Working knowledge of numerical and statistical tools.
Familiarity with model risk management regulations like FRB SR 26-2, Volker rule, and FRTB.
Industry certifications such as CFA or FRM are advantageous.
Excellent communication skills, both verbal and written.
Experience with global trading and capital market models is preferred.

Responsibilities

Validate and monitor model performance through rigorous testing.
Evaluate conceptual soundness of models and data integrity.
Test for model accuracy and conduct outcomes analysis.
Verify proper implementation and stress testing of models.
Support regulatory relationships and internal audit processes.

Benefits

Comprehensive health and wellness programs.
Access to retirement savings plans.
Opportunities for professional development.
Collaborative and dynamic work environment.
Flexible work arrangements available.

Full Job Description

This quantitative analyst within the Quantitative Risk Control (QRC) 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 trading and Capital market activities, Securitization and investment banking.

Major Responsibilities:

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.

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.

Requirements:

2 to 5 years of experience within the financial services industry and/or equivalent academic experience.

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.

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

Education:

Typically requires an advanced degree in mathematics, finance, computer science, statistics, operational research, economics, or other quantitative fields.

MUFG Benefits Summary

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. (“MUFG Securities Canada”). The job description relates to the general nature, scope, quantity and quality of work contemplated for the position. Other duties and responsibilities not specifically described may be assigned from time to time, consistent with knowledge, skills and abilities of the incumbent. The receipt of an application by either MUFG Bank Canada or MUFG Securities Canada, as applicable, does not imply or guarantee employment.

About MUFG Bank, Ltd.

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There has never been a better time to join the global team at MUFG Bank, Ltd., a premier institution recognized for its leadership in the financial sector. MUFG Bank, Ltd. offers a plethora of job opportunities that cater to a variety of skills and interests, all while fostering professional growth and innovation.

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Join MUFG Bank, Ltd.'s distinguished team to assist some of the most sophisticated clients in navigating their financial landscapes. At MUFG Bank, Ltd., team members lead from a unique position in the marketplace, at the crossroads of financial expertise, industry knowledge, and digital innovation. Engage with a global team of business and financial advisors to help clients master their economic strategies and challenges. Collaborate with the largest group of finance professionals in the industry – a network that spans across continents offering unmatched opportunities for networking and professional development.

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