MUFG Union Bank Operational Risk Senior Quantitative Modeler, Vice President in Monterey Park, California
Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), the 5th largest financial group in the world (as ranked by S&P Global, April 2018) with total assets of over $2.9 trillion (106.2 (JPY) as of March 30, 2018) and 150,000 colleagues in more than 50 countries. In the U.S., we’re 13,000 strong, working together to positively impact every customer, organization, and community we serve. We achieve this by delivering on our values, putting people first, fostering long-term relationships built on honesty and mutual understanding, and inspiring the best in each other. This is all part of our inclusive, high-performing culture supported by Total Rewards that include our cash balance pension plan. Join a team that’s working to fulfill its vision to be the world’s most trusted financial group.
Reporting to the Operational Risk Workstream Lead, the OpRisk Stress Test Modeling Lead will oversee (but not have direct reports) the statistical modeling aspects of macroeconomic input predictors. This position will work with predicting operational loss behavior during recessions and general economic duress. This Sr. Quantitative Modeler will build and maintain a suite of prediction models that will include various types of regression (OLS, robust, and quantile) and Principal Components Analysis, as well as write documentation to support the use of such models and explain model results.
Also responsible for the testing and implementation of the bank's Operational Risk (OpRisk) stress models to forecast loss estimates primarily from various macroeconomic predictors. This team lead will play a major role in making updates to all related documentation, conducting various analyses of model results, and running any/all stress models from start to finish on a quarterly basis. Also participate in ideation activities with other members of the modeling team to improve existing models and address modeling deficiencies.
Build regression models, conduct correlational analysis, and execute/interpret multicollinearity tests
Run all components of the bank's stress models on a periodic basis
Coordinate project efforts with the modeling team and, when warranted, direct work efforts of the team to meet deadlines and remediate modeling limitations
Work with the OpRisk Workstream Lead and other modelers to recommend viable statistical approaches for addressing model limitations and effective approaches for sensitivity analysis.
Work with the Operational Risk Workstream Lead to construct mathematical linkages of the bank's stress models to the bank's OpRisk economic capital models
Build non-additive models by the use of interaction predictor variables and develop effective heteroscedasticity detection and correction schemes
Write/maintain model documentation
Take a lead role in the monitoring of model performance; to include model stability, bootstrap methodologies, and sensitivity analysis
Graduate degree in Actuarial Science, Economics, Finance, Mathematics, or Statistics (Ph.D. preferred) – emphasis on macroeconomic theory is preferred.
Experience in building complex multiple regression models
Experience within the financial services industry is a plus (not required).
Experience (academic or professional) in the design and/or documentation of a large scale modeling effort a plus.
Financial risk management industry certifications a plus.
Well-versed and experienced in applied multiple regression analysis
Working knowledge of the role of capital risk-based ratios in stress forecasting
Expertise in building or interpreting :
o Generalized linear models
o Principal components analysis models
Strong data management skills
Proficiency in each of the following packages/languages: Base SAS, Excel (should be an advanced user), R (advanced user a plus, but not required), SAS/STAT (advanced user a plus, but not required)
Good verbal and written communication skills.
/ The above statements are intended to describe the general nature and level of the 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 pro // ud 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 in employment decisions on the basis of any protected category. /
/ A conviction is not an absolute bar to employment. Factors such as the age of the offense, evidence of rehabilitation, seriousness of violation, and job relatedness are considered in all employment decisions. Additionally, it’s the bank’s policy to only inquire into a candidate’s criminal history after an offer has been made. Federal law prohibits banks from employing individuals who have been convicted of, or received a pretrial diversion for, certain offenses. /
Job: *Risk & Compliance
Title: Operational Risk Senior Quantitative Modeler, Vice President
Location: CALIFORNIA-Monterey Park
Requisition ID: 10026107-WD