Model Risk Management Quant Associate/AVP- Market

Major Responsibilities:

• Responsible for Independent Model validation and performance monitoring such as assessing the conceptual soundness, evaluating model assumptions and data integrity, testing model numerical, statistical, and/or computational accuracy, performing outcomes analysis, and reviewing model governance and control process.

• Assess the mathematical, statistical, theoretical and conceptual soundness of each model.

• Verify model performance, i.e. correct implementation, limiting behaving, and response to stress/extreme input condition-stress testing.

• Support relationship with regulators and internal audit.

Requirements:

• 2 to 5 years of experience within the financial services industry and/or equivalent academic experience.

• Proven track record of strong technical model development, model validation, and model oversight in one or more of the following areas: market risk pricing, stress testing, securitization (ABS/CLO/CMBS), Capital market/Trading Pricing and Risk models, IPV models, Rates, Options and FX.

• Working knowledge in at least one of the numerical and statistical tools.

• Knowledgeable of model risk management and associated regulatory requirements such as FRB SR 26-2 and Volker rule, FRTB a plus

• Industry certifications a plus (e.g., CFA, FRM).

• Excellent verbal and written communication skills.

• Experience in global trading and capital market, IPV models, Interest Rates and Currencies pricing and risk management is preferred. Experience in RiskMetrics, Calypso, Murex, QuIC, PolyPaths is preferred

Education:

• Typically requires an advanced degree in mathematics, finance, computer science, statistics, operational research, economics, or other quantitative fields.

MUFG Benefits Summary

The job description and related application pertains to an opportunity with either MUFG Bank, Ltd., Canada Branch (“MUFG Bank Canada”) or MUFG Securities (Canada), Ltd. (“MUFG Securities Canada”). The job description relates to the general nature, scope, quantity and quality of work contemplated for the position. Other duties and responsibilities not specifically described may be assigned from time to time, consistent with knowledge, skills and abilities of the incumbent. The receipt of an application by either MUFG Bank Canada or MUFG Securities Canada, as applicable, does not imply or guarantee employment.

Each of MUFG Bank Canada and MUFG Securities Canada is an equal opportunity employer.

• As a federally regulated entity, MUFG Bank Canada is required to comply with applicable laws which prohibit discrimination based on protected grounds and which require accommodation to individuals in accordance with the requirements outlined in the Canadian Human Rights Act and the Canada Labour Code. Where MUFG Bank Canada obtains information relating to protected grounds under the Canadian Human Rights Act as part of the application process, it does so to monitor and otherwise evaluate its own compliance with such legislation and associated regulatory requirements; MUFG Bank Canada does not use such information for decision making purposes relating to the position contemplated in this application.

• As a provincially regulated entity, MUFG Securities Canada is required to comply with applicable laws which prohibit discrimination based on protected grounds and which require accommodation to individuals in accordance with the requirements outlined in the Human Rights Code (Ontario) and the Employment Standards Act (Ontario). Where MUFG Securities Canada obtains information relating to protected grounds under the Human Rights Code (Ontario) as part of the application process, it does so to monitor and otherwise evaluate its own compliance with such legislation and associated regulatory requirements; MUFG Securities Canada does not use such information for decision making purposes relating to the position contemplated in this application.