MUFG Union Bank Sr Quantitative Analyst, VP - Hybrid (AZ, NY, CA, TX, in Brea, California
Do you want your voice heard and your actions to count?
Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), the 5th largest financial group in the world. Across the globe, we’re 180,000 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.
This is a hybrid position. There are flexible work from home options available. A member of our recruitment team will discuss the options with you in more detail.
Job Summary: 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 MUFG 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 Management , Early Warning Indicator Modeling/Reporting).
Credit Economic Capital Modeling:
Support MUFG Global and R egional 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 RiskFrontier.
Support the standardization of Economic Capital modeling across ALL MUFG regions.
Standardize the parameterization of key credit risk drivers of MUFG credit portfolio (e.g. the quantification of systematic risks in individual credit position, PD/LGD correlation,...etc.)
Develop and enhance MUFG's Economic Capital production process.
Conducting peer code reviews, advocating coding best practices, and exploring the use of cutting-edge technologies and tools for automating production processes.
Responsible for stakeholder management with partners across global organization often with conflicting interests.
Develop and advocate use of tools and technology to better facilitate communication.
Credit Loss Forecasting Models:
Forecast periodic 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.
Consolidate, reconcile, and standardize loan data extracted from MUFG's numerous data systems – in support of credit portfolio modeling.
Implementation ICAAP stress tests
Forecast ACL for the annual ICAAP stress testing cycle.
Credit Risk Framework:
Management of the credit risk appetite and concentrations frameworks - calibration of portfolio appetite and concentration limits linked to business strategy and MUFG’s capital/earnings.
Maintain the overall quality of MUFG credit portfolio by identifying the impact of current economic and market trends on the portfolio.
Co-ordinate the review of policy updates and communicate key changes to various stakeholders across the global firm.
Participate as SME to determine methodology for identifying relevant and material risks within the Americas.
• Excellent practical data analytics skills on real data sets gained through hands-on experience, including familiarity with methods for working with large data and tools for data analysis (e.g. R, python, Pandas)
• Experience using Version Control tools (Git, Bitbucket) to manage and update production-level code.
• Understanding of/ or aptitude to quickly learn – credit management platform (software) i.e. credit loss forecast models, stress lost forecasting, Monte Carlo loss simulation, etc.
• Understand and can use agile and waterfall project management principles.
• Excellent communication skills, both oral and written, and interpersonal skills. Able to articulate on complex problems and solutions through concise and clear messaging.
• Ability to apply statistical (regression models, multivariate analysis) and/or machine learning / deep learning techniques in the financial industry
• Understanding of statistical modeling techniques. Also, model development capabilities. An appreciation and aptitude for machine learning concepts will be an asset.
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 (e.g. AWS) preferred.
• 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 preferred) with emphasis on employing quantitative methods and tools (i.e. Computer Science, Engineering, Finance, other disciplines).
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/Affirmative Action 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.
Some MUFG roles require that individuals be fully vaccinated against COVID-19, subject to exemptions for medical or religious reasons, as well as any other reason required by applicable law or order. Should you be selected for an interview, your recruiter will provide additional information.