Vice President Quantitative Analyst - Risk

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.

Department Overview:
Risk Analytics Group is a specialized area in the Risk Department with the team head reporting to the local and international CRO. The team members have strong quantitative skills and are responsible for Market Risk Models, Capital Models, Counterparty Exposure models, Initial Margin models and Pricing Model Validation.

Main purpose of the role:
The successful candidate will be responsible for Initial Margin calculations and Initial Margin ongoing performance tests. The model used is an internally developed implementation of the ISDA SIMM model, which is sensitivity-based. The role will report directly to the head of the Risk Analytics Group, as head of a new sub-team of Risk Analytics being set up to focus on this area.  

The successful candidate will have responsibility for ensuring correct specification of the calculations to the developers working on the upstream systems which provide sensitivity inputs, and on the systems which aggregate sensitivities into Initial Margin calculations. The responsibilities will also cover inclusion of new products into the calculations, and internal coordination of periodic model updates issued by ISDA. The candidate will be expected to follow the relevant industry working group discussions to gain awareness of industry-wide model changes well in advance of the implementation date.

As well as the calculation of the Initial Margin, the role will have responsibility for model performance reporting. This includes various performance tests run over time, with results reported quarterly to internal committees and regulators,

The candidate will work with other team members in RAG, with the Operations teams making and receiving the collateral calls, the IT development teams, the Legal team drafting legal documentation, project management teams and risk model validators. The successful candidate will work in an inclusive and proactive way, ensuring that the team is reactive to new model development and to resolving issues as they arise, and communicate clearly in reporting to management. 

Key responsibilities:

  • Maintain specifications of the SIMM risk model calculation and its inputs
  • Update the specifications to meet SIMM model updates and distribute to system developers
  • Test risk output for new products to be handled  in the model
  • Design model performance tests for both model assumptions and implementation. Improve existing model performance process
  • Run and analyse results on going model performance tests, Investigate issues and escalate results where appropriate
  • Reporting to model oversight committee and to regulators
  • Specify and test system changes to implement improvements to the model
  • Improve existing operational controls around the models and propose new ones to increase robustness.
  • Support Operations and Legal department in managing counterparty relationships Ad-hoc projects as required, including collaboration with risk analytics and model validation.
  • Proactively contribute to wider Risk function initiatives and projects.

Work experience:
Four or more years’ experience within Financial services firm. Prior experience working on ISDA SIMM or on FRTB SA would be ideal but not essential. 

Skills required:

  • Solid quantitative skills (computer science or maths/statistics or finance higher education at MSc level or above)
  • Understanding of financial markets and products including derivatives
  • Familiarity with principles of pricing derivatives
  • Experience of risk related role highly prefered
  • Experience of ISDA SIMM or FRTB SA model highly preferred
  • Excellent Excel knowledge and experience of VBA/Python/R preferable

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.