MUFG Union Bank Operational Risk Sr 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.

Job Summary:

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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. The Sr. Quantitative Modeler will write narratives to explain the impact of unemployment rate, inflation, treasury yields, GDP, HPI, and other macroeconomic determinants on the bank’s loss projections for operational risk.

Also, responsible for the construction, 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.


/ Major Responsibilities:

  • Write narratives to explain/justify the use of specific macroeconomic factors as predictors in the bank’s forecast models for operational risk.

  • Build linear 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 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.

  • 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.

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/ 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 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 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 Sr Quantitative Modeler, Vice President

Location: CALIFORNIA-Monterey Park

Requisition ID: 10026037-WD