Director, Head of Model Risk Management

Mitsubishi UFJ Financial Group, Inc. (MUFG) is one of the world’s leading financial groups. Headquartered in Tokyo and with over 360 years of history, MUFG has a global network with around 3,000 offices in more than 50 markets. The Group has over 180,000 employees, and offers services including commercial banking, trust banking, securities, credit cards, consumer finance, asset management, and leasing.

Overview of the department:

Enterprise Risk Management (ERM) is responsible for supporting the EMEA Chief Risk Officer to implement an effective risk governance framework across MUFG EMEA, and providing a holistic view of the risks facing MUFG in EMEA, including environmental and social risk management. The department additionally performs risk appetite monitoring and reporting; scenario stress testing and capital adequacy assessments; recovery and resolution planning; model risk management; and new business and product risk governance.

The Model Risk Management team within ERM is responsible for model governance and the validation of all risk models used by MUFG in EMEA. This includes market risk models used for regulatory capital purposes, as well as credit, operational, economic capital and stress testing models which are used for risk measurement and decision-making purposes. MRM works closely with Risk Analytics and front office quants to ensure that all risk models are validated on a periodic basis as well as at inception and changes. MRM provides regular model risk reporting to model oversight committees and the Board.

Number of direct reports:

Main purpose of the role:

  • To lead the model risk management team to meet evolving best practice model governance and undertake independent risk model validation.

Key responsibilities:

  • Responsible for developing and maintaining a robust model governance framework to meet evolving best practice.
  • Management of the model risk management team, including scoping and project managing risk model validations.
  • Maintaining model risk policies, procedures and implementing practices that provide effective oversight of model risks.
  • Responsible for carrying out and overseeing the team’s independent validation of risk models, both initial and periodic across all risk types and asset classes. Validation includes theoretical review of model concept and statistical analysis, identifying model assumptions/limitations, implementation testing model components through independent rebuild (R, Matlab, etc.)
  • Production and issuance of validation reports
  • Tracking of actions and conditions raised through the validation process
  • Ongoing monitoring of  risk model performance and escalation
  • Developing constructive relationships with risk management and other departments within the Firm

Work experience:

  • Minimum 10 years quantitative/ validation experience.
  • Model development or model validation of market risk and counterparty credit risk models
  • Model development or model validation of corporate credit risk models, i.e. IRB (Beneficial)
  • Model development or model validation of derivatives valuation models (Beneficial)
  • Stress testing  or internal capital models  (Beneficial)
  • Using one or more of: R, Matlab, python, VBA

Skills and experience:
Functional / Technical Competencies

  • Deep understanding of financial products.
  • Probability theory and random variables algebra
  • Statistical inference and hypothesis testing, other model validation techniques
  • Estimation theory and methods
  • Stochastic processes and stochastic calculus
  • Modelling and pricing of financial derivatives (Beneficial)
  • Analysing and modelling multivariate financial time series data (Beneficial)
  • Computer simulations and numerical approximation methods (Beneficial)
  • Ability to critically assess strengths and weaknesses of models.
  • Strong technical experience of Risk modelling and validation requirements.
  • Understanding of PRA requirements.

Education / Qualifications:

  • Postgraduate level education in quantitative subject

Personal requirements:

  • Excellent communication skills
  • Results driven, with a strong sense of accountability
  • A proactive, motivated approach.
  • The ability to operate with urgency and prioritise work accordingly
  • Strong decision making skills, the ability to demonstrate sound judgement
  • A structured and logical approach to work
  • Strong problem solving skills
  • A creative and innovative approach to work
  • Excellent interpersonal skills
  • The ability to manage large workloads and tight deadlines
  • Excellent attention to detail and accuracy
  • A calm approach, with the ability to perform well in a pressurised environment
  • Strong numerical skills
  • Excellent Microsoft Office skills
  • A confident approach, with the ability to provide clear direction to your team
  • Excellent managerial/leadership experience
  • The ability to lead a high performing team
  • A strategic approach, with the ability to lead and motivate your team
  • The ability to articulate and implement the vision/strategy for the Model Risk Management Team

MUFG is committed to embracing diversity and building an inclusive culture where all employees are valued, respected and their opinions count. We support the principles of equality, diversity and inclusion in recruitment and employment, and oppose all forms of discrimination on the grounds of age, sex, gender, sexual orientation, disability, pregnancy and maternity, race, gender reassignment, religion or belief and marriage or civil partnership.

We make our recruitment decisions in a non-discriminatory manner in accordance with our commitment to identifying the right skills for the right role and our obligations under the law.