Economic Capital Model Quantitative Analyst Jobs

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Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), the 7th largest financial group in the world. Across the globe, we’re 120,000 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 world’s most trusted financial group, it’s 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 selected colleague will work at an MUFG office or client sites four days per week and work remotely one day. A member of our recruitment team will provide more details.

Senior Quantitative Analyst, Vice President

This position will report to the (Americas) Managing Director, Credit Portfolio Analytics. In this role the employee will develop and manage global and regional credit portfolio risk analytics for the global MUFG credit portfolio. Specific responsibilities include:

• Design and develop credit models and end-user analytic tools.
• Advance best practice credit portfolio risk management (e.g. Economic Capital Modeling, Stress Test Modeling, Credit Risk Appetite & Concentration Limits, Early Warning Indicator Modeling/Reporting).

KEY ACCOUNTABILITIES

Credit Economic Capital Modeling:

• Support MUFG Global and Regional Economic Capital production process.
•  Run, maintain, and update the monthly production processes for generating loan-level Economic Capital results.
• Perform Monte Carlo simulations of Economic Capital (catastrophic losses that occur in crisis scenarios) using vendor models such as Moody's Risk Frontier.
• Assist standardization of Economic Capital modeling across ALL MUFG regions.
• Align EC modeling parameters (e.g. quantification of systematic risks in individual credit position, PD/LGD correlation, etc.)
• Develop/enhance MUFG's Economic Capital production process.
• Conduct peer code reviews, promote best coding practice, explore cutting-edge technologies and tools for production process automation.
• Work with stakeholders and partners across MUFG’s global organization (often with conflicting interests).
• Develop and promote tools and technology to facilitate stakeholder communications.

Credit Risk Framework:

• Manage credit risk appetite and concentrations management limit frameworks. Link credit risk appetite and concentration limits to MUFG business strategy (capital/earnings).
• Support MUFG credit portfolio quality vs. current and future economic/market trends.
• Participate in policy review and updates – in coordination with key regional and global stakeholders.
• As SME, assist risk identification and materiality measurement within the Americas Region.

Credit Loss Forecasting Models:

• Forecast stress credit losses according to preformatted macroeconomic scenarios:
• Implement and update proprietary credit risk models (e.g. Probability of Default / Loss Given Default /Exposure at Default) for all loan exposures and loan types.
• Assess and standardize loan data extraction from numerous regional and global systems – supporting credit portfolio modeling.
• Implement ICAAP stress tests.
• Forecast ACL for the annual ICAAP stress testing cycle.

TECHNICAL SKILLS:

• Excellent data analytics skills gained through hands-on experience, including familiarity with large data sets and the tools for data analysis (e.g. R, python, Pandas)
• Experience using Git/Bitbucket (version control applications) to manage production-level code.
• Understanding or ability to quickly learn – credit management platform (software) i.e. credit loss forecast models, stress lost forecasting, Monte Carlo loss simulation, etc. · Excellent communication skills, oral and written, also interpersonal skills. · Experience with statistical tools and techniques (regression models, multivariate analysis, machine learning / deep learning) within financial services · Model development capabilities.

EXPERIENCE & ABILITIES:

• 5+ years work experience with credit analytics (or equivalent) function preferred.
• 2+ years work experience in/or supporting Front Office function (e.g. credit, markets, etc.) within a major commercial or investment bank, insurance company, or similar international financial business.
• Understanding of / or direct Experience with cloud computing (i.e. AWS).
• Active participation in leading/advocating projects. Strong teamwork abilities.
• Excellent critical thinking, problem-solving abilities.
• Highly motivated, strong attention to detail, organized.

EDUCATION & TRAINING:

• Minimum Bachelor’s degree (Masters/PhD welcome) with emphasis on quantitative methods and tools (i.e. Computer Science, Engineering, Finance, other disciplines).

The typical base pay range for this role is between $145K - $191K depending on job-related knowledge, skills, experience and location. This role may also be eligible for certain discretionary performance-based bonus and/or incentive compensation. Additionally, our Total Rewards program provides colleagues with a competitive benefits package (in accordance with the eligibility requirements and respective terms of each) that includes comprehensive health and wellness benefits, retirement plans, educational assistance and training programs, income replacement for qualified employees with disabilities, paid maternity and parental bonding leave, and paid vacation, sick days, and holidays. For more information on our Total Rewards package, please click the link below.

MUFG Benefits Summary

The above statements are intended to describe the general nature and level of work being performed. They are not intended to be construed as an exhaustive list of all responsibilities duties and skills required of personnel so classified. We are proud to be an Equal Opportunity Employer and committed to leveraging the diverse backgrounds, perspectives and experience of our workforce to create opportunities for our colleagues and our business. We do not discriminate on the basis of race, color, national origin, religion, gender expression, gender identity, sex, age, ancestry, marital status, protected veteran and military status, disability, medical condition, sexual orientation, genetic information, or any other status of an individual or that individual’s associates or relatives that is protected under applicable federal, state, or local law.