VP model validation

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MUFG (Mitsubishi UFJ Financial Group) is one of the world's leading financial groups. Headquartered in Tokyo and with approximately 350 years of history, MUFG is a global network with around 2,300 offices in over 50 countries including the Americas, Europe, the Middle East and Africa, Asia and Oceania, and East Asia. The group has over 150,000 employees, offering services including commercial banking, trust banking, securities, credit cards, consumer finance, asset management, and leasing.

As one of the top financial groups globally with a vison to be the world's most trusted, we want to attract, nurture and retain the most talented individuals in the market. The size and range of MUFG's global business creates opportunities for our employees to stretch themselves and reap the rewards, whilst our common values, to behave with integrity and responsibility, and to build a culture which is fair, transparent, and honest, underpin everything that we do. We aim to be the financial partner of choice for our clients, whatever their requirements, building long-term relationships, serving society, and fostering shared and sustainable growth for a better world.

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Enterprise Risk Management (ERM) is responsible for supporting the EMEA Chief Risk Officer to implement an effective risk governance framework across MUFG EMEA, and providing a holistic view of the risks facing MUFG in EMEA, including environmental and social risk management.

The Model Risk Management (MRM) within ERM is responsible for model governance and the validation of models used by MUFG in EMEA. This includes, among others, risk models which are used for risk measurement and decision-making purposes. MRM works closely with Risk Analytics and Front Office quants to ensure that all risk models are validated on a periodic basis as well as at inception and changes. MRM provides regular model risk reporting to model oversight committees and the Board.

NUMBER OF DIRECT REPORTS

None

MAIN PURPOSE OF THE ROLE

Independent model validation of quantitative methodologies, both initial and periodic, across all asset classes and model types (derivative pricing models, credit and market risk, capital models, AI models, etc. ) and in line with regulatory requirements and industry best practice. The validation regularly requires an independent implementation of the models and the implementation of alternative challenger models.

KEY RESPONSIBILITIES

Initial and periodic validation of quant models

Designing, modelling and prototyping challenger models

Quantitative analysis and review of model frameworks, assumptions, data, and results

Testing models numerical implementations and reviewing documentations

Checking the adherence to governance requirements

Documentation of findings in validation reports, including raising recommendations for model improvements

Ensuring models are validated in line with regulatory requirements and industry best practice

Tracking remediation of validation recommendations

Preparation of model risk reporting for Model Oversight Committee and Board

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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