Model Risk Manager

le contenu du travail

Join a financial group that’s as committed to your future as you are. At MUFG, we share a vision for our future, we share our successes, and we strive to bring out the best in each other in everything we do. As the 5th largest bank in the world, our diverse team is connected by a common ambition to create change for the better—from forging more dynamic career paths to driving progress in our communities, to continuously reshaping the standards of global financial services. Positive impact starts here; see the change you can make as we strive to become the world’s most trusted financial group. 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 over 2,700 locations 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. MUFG aims to “be the world’s most trusted financial group” through close collaboration among our operating companies and flexibly responding to all of the financial needs of our customers, serving society, and fostering shared and sustainable growth for a better world. MUFG’s shares trade on the Tokyo, Nagoya, and New York stock exchanges. For more information, visit https://www.mufg.jp/english

Model Risk Manager

Summary:
The 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, market risk, Securitization, and Capital market activities.

Accountabilities:
Model Risk Management:

• Developing, maintaining, and implementing the Bank’s Model Risk Management Program covering Wholesale Credit risk models which are used for supporting risk scoring, decision-making, Treasury QRM Modeling, CCAR stress testing, ALLL/CECL/IFRS 9, economic capital estimation, financial reporting, and risk management
• Collaborate with first line of defense to improve individual and aggregate model risks and manage the model risk appetite. Partner and strategize across affiliates to adopt best Model Risk practices. Increase integration of program with key technologies.
• 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
• Contribute to establishing standards for managing areas of model risk: Development and implementation, governance and documentation, and model performance.

Model Validation:

• Perform independent validations of various models developed based on statistical analysis and machine learning techniques
• Coordinate the resolution of findings with model owners and users, recommend management action plans, and track remediation progress.
• Document the validation outcome in high-quality validation report and manage resolution of findings with model developers
• Validation scope includes assessment of model conceptual soundness, evaluation of data and assumptions, testing model computational accuracy, and performing outcomes analysis (such as back-testing and benchmarking)
• Consult with model users on the design of effective model operational controls

Maintain Model Inventory:

• Conduct model/non-model assessment
• Issue/finding closure, and model annual review
• Monitor model performance reports on an on-going basis to ensure models remain valid.
• Improve the efficiency of existing model risk processes and create value-add solutions (e.g. Policy and Procedures, templates, automated testing, validation rigor by risk rating, model performance review, usage of AI, etc.). Effectively use offshore resources to support validation of quant models and estimation approaches.

Collaboration:

• Support relationship with regulators and internal audit
• Team player, ability to communicate technical concepts to non-technical audience

Experience:

• 7-10 years combined experience in risk management and financial service industry
• Strong understanding of financial services industry
• Strong verbal/communication skills
• Attention to details
• Strong skills in quantitative methods including statistical analysis, time series modeling, forecasting
• Strong skills in quantitative methods and computer programming, such as Python, R or SAS and preferably any QRM experience

Education:

• Advanced degree of Masters or higher in statistics, finance, or other quantitative field
• Industry certifications a plus (e.g., CFA, FRM)

Notice: The above information on this job description has been described to indicate the general nature and level of work performed by incumbents. Other duties and responsibilities not specifically described may be assigned from time to time, consistent with knowledge, skills and abilities of the incumbent. Company Chartered in 1981 and assuming its current identity as MUFG Canada Branch, our Canadian Branch is the premier Asia-based global bank in its market. We serve local and Japanese clients from the Atlantic to the Pacific with financial expertise across a number of key industries such as oil and gas, pipelines, power generation, automotive, transportation, and telecom. The receipt of this application by MUFG Bank, Ltd., Canada Branch (“MUFG Canada Branch”), does not imply or guarantee employment. MUFG Canada Branch is an equal opportunity employer. We do not discriminate in hiring or in any other aspect of employment on the basis of the grounds enumerated in the Canadian human rights act. In addition, MUFG Canada Branch complies with applicable laws prohibiting discrimination in employment in every jurisdiction in which it maintains facilities. MUFG Canada Branch provides accommodation to individuals in accordance with the requirements outlined in the Canadian human rights act and the Canada Labour Code.©2020 Mitsubishi UFJ Financial Group, Inc. All rights reserved. The MUFG logo and name is a service mark of Mitsubishi UFJ Financial Group, Inc., and is used by MUFG Bank, Ltd., Canada Branch, with permission.

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