Assistant Vice President, Model Risk Manager
Assistant Vice President, Model Risk Manager
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Job Description
Do you want your voice heard and your actions to count
Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG) one of the worlds leading financial groups. Across the globe were 120000 colleagues striving to make a difference for every client organization and community we serve. We stand for our values building long-term relationships serving society and fostering shared and sustainable growth for a better world.
With a vision to be the worlds most trusted financial group its part of our culture to put people first listen to new and diverse ideas and collaborate toward greater innovation speed and agility. This means investing in talent technologies and tools that empower you to own your career.
Join MUFG where being inspired is expected and making a meaningful impact is rewarded.
The AVP Model Validation Quantitative Analyst within the Quantitative Risk Control (QRC) supports best-practice model risk activities consistent with the MUFG Model Governance Program. The models include those used within the various Business Units for supporting Global trading lending pricing Securitization and Capital market activities.
Responsibilities:
Model Risk Management:
- Developing maintaining and implementing the Banks Model Risk Management Program covering Wholesale Credit risk models which are used for supporting risk scoring decision-making stress testing ALLL/CECL/IFRS 9 economic capital estimation financial reporting and risk management
- Monitor model performance reports on an on-going basis to ensure models remain valid
- Applying strong risk knowledge to solve problems independently without relying on daily supervision
Model Validation:
- Perform independent validations of various models developed based on statistical analysis and machine learning techniques
- Document the validation outcome in high-quality validation report and manage resolution of findings with model developers
Maintain Model Inventory:
- Conduct model/non-model assessment
- Issue/finding closure and model annual review
Collaboration:
- Support relationship with regulators and internal audit
- Team player ability to communicate technical concepts to non-technical audience
Skills & Experience
- Strong skills in quantitative methods including statistical analysis and credit risk modeling
- Strong skills in quantitative methods and computer technology such as Python R and SAS
- 3-5 years experience in related field
- Strong understanding of financial services industry
- Strong verbal/communication skills
- Attention to details
Education:
- Advanced degree of Masters or higher in statistics finance or other quantitative field
- Industry certifications a plus (e.g. CFA FRM)
Required Experience:
Chief
Employment Type
Full-Time
