MUFG Union Bank Market Risk VP - Agency MBS in New York, New York
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MUFG is looking for a risk professional to join the market risk management group in New York. The position is focusing on agency MBS and ABS risk management. It offers the opportunity to participate all risk related functions in a market risk framework including risk monitoring and limit setting. The primary objectives of this role is to maintain a detailed understanding of the business line’s risk profile and its drivers through various analytical tools and interaction with Front Office. MRM also has involvement with new product/transaction processes, identifying additional risks and ensuring the risk profile of products will be correctly represented.
Develop expertise in Agency MBS and ABS market products.
Provide in-depth analysis on risk metrics (VaR, PL, and sensitivities).
Assess new product in the pipeline and calibrate limits to proper levels.
Lead technology initiatives to enhance capabilities and streamline infrastructure.
Contribute to risk business processes such as ensuring accuracy of risk capture
Contribute to stress testing scenario design with proper granularity.
Collaborate with quantitative teams on model results and implementation.
Present high-quality written commentary in committee materials to senior risk management
6+ years of experience in risk or trading functions covering Agency MBS. Deep knowledge in MBS trading and heading strategies, able to analyze a portfolio and produce reviews highlighting key risks.
Strong quantitative and analytical background with a deep understanding of Agency CMO derivatives, Agency CMBS. Strong knowledge in MBS pricing models used including prepayment, current coupon, and interest rate models.
Understanding of the governance and controls surrounding risk monitoring including, VaR, stress testing, various return measures and experience with stress construction
Excellent oral and written communication skills with ability to explain technical concepts in practical terms
Demonstrated ability to work effectively and independently across different businesses and functional areas with thorough attention to detail in a potentially high pressure environment
Ability to challenge trader's positions and views and help assess the hypothetical positions’ impact on VaR, stress and capital.
Strong technical skills in Excel/VBA/Bloomberg
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 on the basis of race, color, national origin, religion, gender expression, gender identity, sex, age, ancestry, marital status, protected veteran and military status, disability, medical condition, sexual orientation, genetic information, or any other status of an individual or that individual’s associates or relatives that is protected under applicable federal, state, or local law.
Some MUFG roles require that individuals be fully vaccinated against COVID-19, subject to exemptions for medical or religious reasons, as well as any other reason required by applicable law or order. Should you be selected for an interview, your recruiter will provide additional information.