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Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), the 7th largest financial group in the world. Across the globe, we’re 120,000 colleagues, striving to make a difference for every client, organization, and community we serve. We stand for our values, building long-term relationships, serving society, and fostering shared and sustainable growth for a better world.
With a vision to be the world’s most trusted financial group, it’s part of our culture to put people first, listen to new and diverse ideas and collaborate toward greater innovation, speed and agility. This means investing in talent, technologies, and tools that empower you to own your career.
Join MUFG, where being inspired is expected and making a meaningful impact is rewarded.
Overview of Department:
The EMEA Markets Engineering (EME) department supports the trading, sales and risk departments across all asset classes in London, New York, Amsterdam, Paris and Hong Kong.
EME is a team charged with the development of models, pricing tools and system integration used in the firm. Their products support the trading and risk functions using internally developed applications run on traders’ desktops, and various pricing and risk systems in the bank.
Main Purpose of the role:
- To contribute to the general development of the Bank multifunctional in-house quantitative solution, with focus on pricing, risk, model calibration and market data processing.
- To assist in the extension of the pricing library and quality assurance tools to comply with the Model Risk Management regulatory frameworks.
Role:
In this role, you will be working 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.
Initial responsibilities will include:
- Analyzing desk sensitivities (risks) and attribution of PnL, proposing improvements and implanting changes in libraries and tools.
- Improving the internal market data model for certain data types, for example credit default swaps spreads.
- Improving tools used by traders.
- Contribution to the effort to remove unused features and dependencies from internal libraries and tools.
- Contribution to documentation and validation of models.
Experience we are looking for:
Essential
Functional / Technical Competencies:
- General understanding of IR derivatives (swap with multi curve, swaption with skew), or vanilla derivative in other asset class: fx option, equity vanilla option.
- Strong quants development skills in C# or C++.
- Contribution to production code used for valuation or risk engine which has impacted desk PnL or sensitivities [for FO quants] or,
- Approval of a model change in production which has impacted desk PnL [for MO quants].
Work Experience:
- Experience (2y+) in front office or model validation.
Beneficial
Functional / Technical Competencies:
- Interest rate curve bootstrapping e.g. knowing impact from the choice of interpolation, choice of instruments, curve hierarchy, etc.
- Clear understanding of risk profiles of xccy swaps, vanilla options.
- Experience in changing valuation Monte Carlo, PDE , tree or numerical integration.
Please note we operate a flexible working model with 3 days in the office at Ropemaker Place, London.
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.
Top Skills
What We Do
MUFG (Mitsubishi UFJ Financial Group) is one of the world's leading financial groups. Headquartered in Tokyo and with over 360 years of history, MUFG has a global network with over 2,500 locations in more than 50 markets including the Americas, Europe, the Middle East and Africa, Asia and Oceania. The Group has over 170,000 employees and offers services including commercial banking, trust banking, securities, credit cards, consumer finance, asset management, and leasing. Through close partnerships among our group companies, the Group aims to be the world's most trusted financial group, flexibly responding to all of the financial needs of its customers, serving society, and fostering shared and sustainable growth for a better world. MUFG's shares trade on the Tokyo, Nagoya, and New York stock exchanges.
