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The Risk Management Division for EMEA (ERMD) is responsible for the independent identification, analysis, reporting and escalation of all market, liquidity, credit and operational risk exposures arising from MUFG Bank's business activities, acting independently of the business and providing an effective challenge process. Risk Management is also responsible for the design and implementation of firm-wide frameworks and practices that are integral and fundamental to Risk Management within bank. With respect to the Risk Appetite Framework, Risk management is responsible for risk identification program to support a clear and consistent articulation of the firm's risk appetite, appropriate capture of material risks facing the firm, and integration of both with the firm's day-to-day risk management practices to ensure those risks are managed, monitored, and controlled.
Portfolio Management Analysis team within the Credit Risk Management Department (CRMD) is responsible for implementing all aspects of the 2nd Line risk function, including processes, tools and systems to identify, analyses, measure, monitor and report risks to all concerned including Senior Board members in order to support effective decision making. Additionally Portfolio Management Team is also responsible for creating tools to support design, implementation and recalibration of Risk Appetite metrics and conducting Stress test for Credit Risk area.
Main purpose of the role: The main purpose of this role is to support Portfolio Management team to develop the credit risk models to predict risk estimates such as PD, EAD, and LGD, and operational models to support credit risk decisions.
Areas the models will be used include:
Economic Capital Calculation
Regulatory Capital Calculation
Key responsibilities: In this role, you will be responsible for undertaking various activities and tasks of Portfolio Management and Analysis team 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.
Build, validate, document, implement and enhance credit risk models for estimating risk parameters such as PD, LGD, CCF and EAD.
Maintain and enhance credit risk models and stress testing suite that are currently used in Stress testing.
Conduct Stress Testing for the Credit Portfolio based on different stress scenarios developed for Integrated Stress Exercise.
Maintain and enhance the inputs used in Economic Capital (EC) model.
Define and specify key data requirements to support modelling approaches.
Document "technical manual", modelling choices made, and model methodology considerations.
Undertake various ad hoc modelling exercises to help Portfolio management team in conducting deep dive analysis of various segments of credit portfolio.
Conduct detailed analytical work with a high level of accuracy in response to requests from Senior management. Senior management, and contribute to the management and education of enhanced credit risk approaches.
Prepare and present high quality analytical papers for senior management and committees. Contribute to the management and education of enhanced credit risk approaches.
Work in conjunction with Global Portfolio Analytics desk and Global Stress test teams for the enhancement of firm wide global credit risk models.
Skills and experience: Essential
Strong quantitative skills, with a degree in a numerate discipline, and proven skills in data driven analysis and statistical or mathematical modelling.
Good Knowledge of statistical language skills such as R, Matlab, Python or SAS.
Prior experience of building credit risk models.
A good knowledge of different Credit modelling techniques and familiarity with different credit risk models (their use case and objectives).
Basic understanding of financial products.
Good knowledge of Credit Risk Management and various Credit Risk measurement techniques.
Knowledge of Regulatory (Basel) capital framework
Working knowledge of MS office products (esp. MS PowerPoint, MS Access)
Good communication skills – ability to present and communicate technical features and analysis in a clear and concise manner.
Prior experience of working on a Stress test / Risk Appetite project.
Knowledge of Economic Capital Framework using Moody's Risk Frontier / EDF.
A basic knowledge of Counterparty Credit risk for Derivatives.
Experience of working in the banking sector (essential).
Experience of working in Credit Modelling area (essential).
Educations / Qualifications:
Degree in a numeric discipline e.g. Math, Economics, Business, Statistics
Excellent communication skills
Results driven, with a strong sense of accountability
A proactive, motivated approach.
The ability to operate with urgency and prioritise work accordingly
Strong decision making skills, the ability to demonstrate sound judgement
A structured and logical approach to work
Strong problem solving skills
A creative and innovative approach to work
Excellent interpersonal skills
The ability to manage large workloads and tight deadlines
Excellent attention to detail and accuracy
A calm approach, with the ability to perform well in a pressurised environment
Strong numerical skills
Excellent Microsoft Office skills
SQL skills (preferred
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.