Assistant Vice President / Vice President, Model Risk & Market Risk

About the role

Mitsubishi UFJ Financial Group (MUFG) is recruiting an Assistant Vice President or Vice President for Model Risk and Market Risk in its Singapore office. The role safeguards the bank's financial stability through rigorous model validation and governance, working with teams across Asia to implement best-practice model risk procedures.

Key responsibilities

• Independently validate derivatives pricing models across interest rates, FX and risk models such as market risk and IRRBB, and produce detailed validation reports
• Manage model inventory, application processes, risk appetite metrics, tiering, performance monitoring, reporting and committee meeting preparation across Asia
• Work with Head Office and front-office model developers to document model development, and review outsourced validation teams' work
• Assess new model applications and support regional branches on model risk matters
• Liaise with internal and external auditors and regulators, and prepare risk reports with PnL and portfolio analysis
• Prepare materials for ALM/MRM Committee meetings and monitor risk limit breaches
• Take part in PFE simulation, backtesting and stress testing, and develop technical EUC tools such as IRRBB calculation modules

Required profile

• Degree in financial engineering, mathematics, physics, statistics, quantitative finance or another quantitative field
• AVP level: at least three years in derivatives model validation, quants or counterparty credit risk
• VP level: at least five years in the same areas
• Initiative, teamwork and strong verbal and written communication skills

Required skills

• Stochastic processes and derivatives pricing
• Advanced numerical programming in Python, Matlab or C++
• Data analysis with Python, Power Query, Tableau and Excel (with VBA)