MUFG Union Bank Head of Model Risk Management, Managing Director in New York, New York
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Model Risk Management Unit is responsible for the management of enterprise-wide model risks associated with the Bank's development, deployment, and maintenance of quantitative models used for business decision-making, risk management, and financial reporting.
Manage team of approximately 50 professionals responsible for model validation and model governance.
Own and maintain the Bank's Model Governance Policy, Model Validation Procedures.
Maintain the enterprise-wide model inventory and manage the annual inventory certification process. Establish standards for model documentation and ensure they are effectively maintained.
Perform independent validations of all models, and significant model changes, within the scope of the Bank's Model Governance Policy, and manage the resolution of findings with model owners and users. Monitor performance of high-risk models.
Provide periodic reports to executive management on the status of the Model Risk Management program, important changes in the Bank's overall model risk profile, action plans to mitigate significant model risks, and summaries of overall model performance.
Work in conjunction with model developers, model owners, and first line business unit risk managers to establish model risk ratings, and to develop robust business-unit model approval and model change management processes. Consult with model users on the design of effective model operational controls.
Develop, maintain, and provide training to appropriate personnel on the Bank's Model Governance Policy and associated roles and responsibilities.
Serve as primary interface to bank regulators on model risk management.
Proven track record of strong technical model development, model management, and/or model oversight in one or more of the following areas: credit risk management, market risk management, economic capital estimation, and valuation.
Experienced in and knowledgeable about model risk management and associated regulatory requirements such as OCC 2000-16 and Basel II.
Strong project management, leadership, and people development capabilities. Executive decision-making, communication, and presentation skills.
Advanced mathematics, probability, and statistics.
Regression analysis (OLS and logistic regression).
Financial analysis and valuation.
Model validation and performance monitoring.
Consumer and commercial credit risk models and modeling approaches Market risk models and modeling approaches Economic capital models (PD, LGD, and EAD) and modeling approaches.
Working knowledge of one or more of the following programming platforms: SAS, C , SQL, Visual Basic, or Matlab and Microsoft Access and Excel.
Preferred knowledge of time series analysis (ARIMA) Interest rate models and modeling approaches, Prepayment models and modeling approaches, Operational risk models and modeling approaches, Third-party models/platforms, Wall Street Analytics, QRM, Risk Metrics, and Calypso Valuation modeling approaches for MSRs, fixed income securities, derivatives, and structured products.
15 years of experience within the financial services industry.
Advanced degree in finance, economics, statistics or related field (Masters or PhD preferred)
Industry certifications a plus (e.g., CFA, FRM).
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 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.
Primary Location: NEW YORK-New York
Schedule Full Time
Req ID: 10040246-WD