Job Information
MUFG Quantitative Developer 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 7th largest financial group in the world. Across the globe, we’re 120,000 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.
Overview of Department:
The EMEA Markets Engineering (ME) department supports the trading, sales and risk departments across all asset classes in London, New York, Amsterdam, Paris and Hong Kong.
ME is a team charged with the development of models, pricing tools and system integration used in the firm. Their products support the trading and risk functions using internally developed applications run on traders’ desktops, and various pricing and risk systems in the bank.
Main Purpose of the role:
To transform the quantitative analytic libraries and its associated tools (eg. front office pricers) into cutting edge applications.
Providing quantitative support to the Front Office Rates Business and other related functions within the firm
Adding support and extension to the Interest Rate Curve library
In this role, you will be working across MUFG’s banking arm and securities business under a dual-hat arrangement. Under this arrangement, you will act and make decisions on behalf of both the bank and the securities business, subject to the same remit and level of authority, and irrespective of the entity which employs you.
Role requirements:
Essential
Functional / Technical Competencies:
Development coding skills in both C++ and C#, used in the context of a large library
High quality documentation
Experience in code refactoring
Experience in model performance testing
Expertise in Excel as used for pricing tools (used in the context of live pricing)
Understanding of interest rates Market Data
Deep understanding of sensitivities and P&L attribution for interest rates products
Work Experience:
Experience (5y+) as a modelling quant (curve bootstrapping / volatility modelling)
Experience (3y+) as a front office support quant (desk support, Excel spreadsheet support)
Beneficial
Functional / Technical Competencies:
Experience in curve bootstrapping (systems solving, AAD) in the context of a high-speed coding library
Experience in instrument pricing in the context of curve construction (turns / forward curves / curve hierarchies)
Expertise in flow rates products valuation (swaps, bonds, futures, future options, non-standard IR products)
Expertise in volatility products valuation (cap/floors, swaptions, convexity adjustments)
Very good knowledge of financial products (other than interest rates)
Contribution to production code used for valuation, model validation or risk engine
Please note MUFG operate a hybrid working policy with 3 days in the office, Ropemaker Place, London.
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