Model Validation - Lead - Pricing/counterparty Credit Risk

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6-10 years model validation experience
Derivative pricing models expertise
Counterparty credit risk modeling
** Mitsubishi UFJ Financial Group (MUFG) is seeking a Lead for Model Validation in Pricing/Counterparty Credit Risk, focusing on validating pricing models and counterparty credit risk models used for trading, risk management, and capital purposes. The ideal candidate will have extensive experience in model validation, strong quantitative skills, and the ability to lead a small team. **

Job Summary

  • The role involves independently validating pricing and counterparty credit risk models for trading, risk management, and capital purposes.
  • Candidates will lead a team of 2-3 model quants while ensuring compliance with Americas Model Risk Management Policies and U.S. regulatory expectations.
  • MUFG seeks a professional to foster shared growth and innovation by investing in talent and tools that empower ownership of one's career.

Matching Summary

Match Score: 75

** Mitsubishi UFJ Financial Group (MUFG) is seeking a Lead for Model Validation in Pricing/Counterparty Credit Risk, focusing on validating pricing models and counterparty credit risk models used for trading, risk management, and capital purposes. The ideal candidate will have extensive experience in model validation, strong quantitative skills, and the ability to lead a small team. **

Skills & Requirements

Must-have

  • 6-10 years model validation experience
  • Derivative pricing models expertise
  • Counterparty credit risk modeling
  • Stochastic calculus and quantitative finance
  • FRB SR 11-7 regulatory knowledge
  • Python or C++ programming proficiency

Nice-to-have

  • Leading a team of 2-3 model quants
  • Experience with XVA and PFE/EPE models
  • Strong stakeholder communication skills
  • Background in front-office quantitative roles
  • Ability to challenge model methodologies

Key Requirements

  • Master's or PhD in Quantitative Finance or related field
  • 6-10 years experience in bank model validation or development
  • Advanced degree preferred in Mathematics, Statistics, Physics, or Engineering

Work Rights

Not specified

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