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MUFG AVP OR VP Quantitative Analyst in London, United Kingdom

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.

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 around 3,000 offices 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 its operating companies, and to respond to all of the financial needs of its clients, 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.

Please visit our website for more information - mufgemea.com.

Risk Analytics Group (RAG) is a specialized area in the Risk Department with the team head reporting to the local and international CRO. The team members have strong quantitative skills and are responsible for Market Risk Models, Capital Models, Counterparty Exposure models and Pricing Model Validation.

NUMBER OF DIRECT REPORTS

Not applicable

MAIN PURPOSE OF THE ROLE

The successful candidate will be a member of the Pricing Model Validation sub-team of RAG. The team is responsible for the 2nd line of defence of the pricing models in use. The team is responsible for model review of new pricing models before use and for the revalidation of pricing models. There are a wide range of pricing models in use across the major asset classes of rates, fx, credit and equity. The team does detailed validations of complex derivative pricing models. The pricing models being validated are dependent on asset class. The validation will regularly require an independent implementation of the pricing model or implementation of alternative challenger model.

The candidate will work closely with other team members, and in particular have close contact with the front office quantitative developers whose models are being validated. The successful candidate will 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 and escalating risks.

KEY RESPONSIBILITIES

· Implementation of independent pricing models for use in validation

· Model Validation of New models

· Model Validation of model changes

· Revalidation of models

· Assist maintenance of model inventory control

· Follow up on model findings and action plans

· Communication and reporting of findings

· Communication and reporting of validation plans

· Improve existing operational controls around the models and propose new ones to increase robustness.

· Support business and risk department requests in investigations on specific issues.

· Ad-hoc projects as required

· Proactively contribute to wider Risk function initiatives and projects.

WORK EXPERIENCE

Two years experience within Financial services firm

SKILLS AND EXPERIENCE

Required

· Excellent 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

Interest term structure models

· Valuation of callable products via Monte Carlo using early exercise boundary techniques

· Knowledge of smile models

· Experience in one of C++/C#/Python/R

PERSONAL REQUIREMENTS

· Good 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 emended 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.

· Develop independent implementations of models for plain vanillas and exotics for all assets in checking 1st line implementation

· Interface with FO model libraries and output

· Review and validate models by reviewing: conceptual soundness (assumptions, mathematics and approaches) of the models, data inputs into the models including any procedures for calibration, implementation checking of the model, performance of the output of the model and the governance and documentation of the model.

· Talk to trading desks as well as PRO on the model use, data availability and other inputs to make sure the models are used as intended.

· Present findings to model developers and agree action plans against findings

· Maintain inventories of models and governance reporting on them

· Report to valuation committees on status and findings

· Provide knowledge and technical feedback and research detailed issues where applicable

· Clearly communicate and assist as required on different projects.

· Maintain relationships with internal stakeholders for RAG (FOS, MRM,PRO, technology) and assist with presenting model changes and analysis.

· Clearly communicate and support validation teams in Tokyo

· Clearly communicate and assist with enquiries from external and internal auditors.

MANAGING CONFLICTS OF INTEREST

· 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.

We will consider any formal 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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The information that I provide in this application shall be true and complete to the best of my knowledge.

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.

At MUFG, our colleagues are our greatest assets. Our Culture Principles provide a roadmap for how each of our colleagues must think and act to become more client-obsessed, inclusive and innovative. They reflect who we are, who we want to be and what we expect from one another. We are excited to see you take the next step in exploring a career with us and encourage you to spend more time reviewing them!

Our Culture Principles

  • Client Centric

  • People Focused

  • Listen Up. Speak Up.

  • Innovate & Simplify

  • Own & Execute

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