Analyst, Quantitative Analyst - Risk Analytics Group

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OVERVIEW OF THE DEPARTMENT/SECTION

The Risk Analytics Group (RAG) is a specialised area within the Risk Department, responsible for Market Risk Models, Capital Models, Counterparty Exposure Models and Pricing Model Validation. The team members have strong quantitative skills and the team head reports to the local and international Chief Risk Officer.

MAIN PURPOSE OF THE ROLE 

The main responsibilities of the Counterparty Exposure Analytics and Standardised Models sub-team of RAG  main are the development and maintenance of the models for Potential Future Exposure (PFE), Standardised Initial Margin Model (SIMM) and FRTB-ASA (Fundamental Review of the Trading Book, Advanced Standardised Approach). The team also covers stress testing models and Standardised Approach for Credit Valuation Adjustment (SA-CVA).

ISDA SIMM is used for Initial Margin. PFE models are used to measure Counterparty Exposure, internal control limits and partly in economic capital calculations. The PFE simulation covers Rates, FX, Credit, inflation, Equity and Bond Spreads, across derivatives, Repo and Securities Borrowing and Lending transactions.

The successful candidate will be responsible for Initial Margin calculations and ongoing performance tests. The model is an internally developed implementation of the ISDA model, which is sensitivity-based. The role will also include other tasks within the sub-team, such as pre-trade PFE analytics to support the Front Office recalibrating model parameters, stress PFE metrics and PFE model performance monitoring.  The role will report to Head of Counterparty Exposure Analytics and Standardised Models.

The candidate will work closely with other team members in RAG, Credit Risk Management, the IT development teams, risk model validators, Legal, Operations, Data and Front Office teams. The successful candidate will work in an inclusive and proactive way, ensuring that the team takes the lead in new model development and resolves issues as they arise, communicating clearly in management reports. 

KEY RESPONSIBILITIES

In this role, you will be responsible for counterparty risk modelling 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. You will:

• Maintain specifications of the SIMM risk model calculation and its inputs
• Specify and test system changes to implement improvements
• Develop, maintain and improve counterparty exposure models
• Assist with PFE model development and maintenance, including calibration and back-testing
• Reviewing stress exposure metrics
• Test risk output for new products to be handled in the models
• Run model performance tests for both model assumptions and implementation, and improve this process
• Analyse results of ongoing model performance tests, investigate issues and escalate results where appropriate
• Prepare summary reporting to model oversight committee, MUFG Group and to regulators
• Improve existing operational controls around the models and propose new ones to increase robustness
• Development of the SIMM analytics library Python package
• Support business and credit department requests in investigations into pre-trade calculations
• Support Legal and Operations department in managing counterparty relationships
• Ad-hoc projects as required, including collaboration with Market Risk Analytics and model validation.
• Proactively contribute to wider Risk function initiatives and projects.

WORK EXPERIENCE

Essential:

• Previous experience in pricing models
• Approx.  2 years total relevant experience

Preferred:

• Previous experience in a risk-related role
• Experience in SIMM, FRTB-ASA or exposure models
• Experience in banking, consulting, auditor or other relevant financial services

SKILLS AND EXPERIENCE

Required

• Finance or highly numerate education (Maths, Statistics, Engineering, Computer Science, Finance)
• Understanding of financial markets and products including derivatives
• Familiarity with principles of derivatives pricing
• Experience with Python/R/Excel/VBA

Desirable

• Understanding of counterparty exposure measures such as PFE, EE, CVA
• Knowledge of advanced programming languages (C#, C++)
• Knowledge of stochastic calculus

PERSONAL REQUIREMENTS

• Excellent communication skills with the ability to adjust to different audiences
• Highly motivated and innovative, able to work on own initiative
• Excellent accuracy and attention to detail with an analytical mind-set
• Good team player with professional attitude
• Good time management and ability to prioritise
• Ability to manage large workloads and tight deadlines, balancing urgent tasks and longer term projects
• Strong decision making skills, the ability to demonstrate sound judgement
• Strong problem solving skills
• Strong numerical skills

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.