Main Purpose of the Role
Responsible for the Market Risk models that support VAR/IRC and related capital metrics. These models are used for internal control as well as regulatory capital via the IMA (Internal Model based Approach). The VAR model covers Rates, FX, Credit, inflation, and Equity.
Work closely with other team members, market risk within risk, the IT development teams, project management teams and risk model validators. 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
- Assist with risk model development and maintenance
- Develop, maintain and improve Market risk models
- Specifications for revised approach for updated approach to meet FRTB regulations
- Design and run model validation tests, for both model assumptions and implementation. Investigate issues and propose
- Plan changes where there are model weaknesses
- Specify and test system changes to implement improvements
- Improve existing operational controls around the models and propose new ones to increase robustness
- Support business and market risk department requests in investigations on specific issues
- Ad-hoc projects as required, including collaboration with market risk analytics and model validation
- Proactively contribute to wider Risk function initiatives and projects
Work Experience
Experience within a financial services firm
Skills and Experience
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
Desirable
- Experience of risk related role
- Excellent Excel knowledge and experience of VBA/Python/R required
Personal Requirements
- Excellent communication skills, with the ability to adjust to different audiences
- Highly motivated and innovative, able to work on own initiative
- Excellent accuracy and attention to detail with an analytical mind‑set
- Good team player with professional attitude
- Good time management and ability to prioritise
- Ability to manage large workloads and tight deadlines, balancing urgent tasks and longer term projects
Performance and Duties
The role holder will be assessed in accordance with their employing entity’s performance framework and process with relevant input obtained from the dual hatting entity as relevant. As duties and responsibilities change, the job description will be reviewed and amended in consultation with the role holder. The role holder will carry out other duties as are within the scope, spirit and purpose of the role as requested by their line manager or Department Head.
Managing conflicts of interest/dual hat status (If Applicable)
- The role holder will have responsibilities for both MUFG Bank and MUFG Securities EMEA plc
- The role holder will be required to perform their duties and responsibilities on an entity neutral basis, without favour
- The role holder is required to follow regulatory requirements applicable to ensure each business is appropriately supported and to maintain the legal entity integrity of each of MUFG Bank and MUS
- Working terms are dictated by functional mandates, the terms of the Dual-Hat Arrangement Agreement in place between MUFG Bank and MUFG Securities EMEA plc and any other relevant agreements entered into between MUFG Bank and MUFG Securities EMEA plc
- The role holder will have responsibility for identifying and resolving where there may be a difference or conflict in needs between MUFG Bank and MUFG Securities EMEA plc, escalating to their manager where required
Equal Opportunity Statement
We are open to considering flexible working requests in line with organisational requirements. 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.
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