Risk Analytics & Modeling Analyst - Associate/AVP

MUFG - Toronto, ON (30+ days ago)

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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 3,000 locations in more than 50 countries. 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

Job Description: Risk Analytics & Modeling Analyst - Associate/AVP

Job Summary

This quantitative analyst within the American Model Risk Management (AMRM) supports best-practice model risk activities. The covered models are used by various Business Units to support trading and pricing of derivatives and Market Risk Management of OTC derivatives across asset classes including Interest Rates, FX (Currencies), Equity, Securitized Products etc.

Primary Accountabilities

The incumbent will be responsible for independent model validation and performance monitoring:

  • Assess model conceptual soundness.
  • Evaluate model assumptions and data integrity, testing model accuracy (numerical, statistical, and/or computational).
  • Verify model implementation and performance, as well as model response to stress/extreme input conditions.
  • Perform outcomes analysis.
  • Review model governance and control processes.
  • Support the team’s interaction with regulators and internal audit.
Experience Required:
This role requires three to five years of experience within the financial services industry and/or equivalent academic experience. The incumbent typically has a an advanced degree in quantitative fields. Ph.D. preferred.

The candidate must have:
  • Proven track record of strong technical model development, model validation, and/or model oversight in one or more of the following areas: capital markets, OTC derivatives pricing; VaR, P&L attribution, back testing and stress testing.
  • Excellent verbal and written communication skills.
  • Working knowledge in at least one of the listed tools: Python, R, SQL, Visual Basic.
  • Experience in Bloomberg, FinCAD, Markit, RiskMetrics, Calypso, Murex, PolyPaths is preferred.
  • Knowledge of model risk management and associated regulatory requirements such as OCC 2011-12, SR 11-7; FRTB is a plus.
Education Required:
1. Advanced degree in quantitative fields. Ph.D. preferred.

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.


MUFG has been providing global banking solutions in Canada for more than 60 years. Based in Toronto, with offices in Montreal, Calgary and Vancouver, along with our affiliates, MUFG Bank Canada offers Canadian and international clients a full range of wholesale corporate banking services in areas such as project finance, capital markets, syndicated loans, securitization, treasury management, fixed income securities and cash management. Our financial expertise serves clients in a number of industries including power and utilities, metals and mining, chemicals, retail, TMT (technology, media and telecom), automotive and transportation, oil and gas, and diversified industrials.

For more information, visit https://mufgamericas.com/canada-hq

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.