Manager - Model Validation

Bangalore, Karnataka
Permanent
Full-time

6 days ago
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About MUFG Global Service (MGS)MUFG Bank, Ltd. is Japan’s premier bank, with a global network spanning in more than 40 markets. Outside of Japan, the bank offers an extensive scope of commercial and investment banking products and services to businesses, governments, and individuals worldwide. MUFG Bank’s parent, Mitsubishi UFJ Financial Group, Inc. (MUFG) is one of the world’s leading financial groups. Headquartered in Tokyo and with over 360 years of history, the Group has about 120,000 employees and offers services including commercial banking, trust banking, securities, credit cards, consumer finance, asset management, and leasing.The Group aims to be the world’s most trusted financial group through close collaboration among our operating companies and flexibly respond to all the financial needs of our 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.For more informatJob DescriptionAbout Us:MUFG Bank, Ltd. is Japans premier bank, with a global network spanning in more than 40 markets. Outside of Japan, the bank offers an extensive scope of commercial and investment banking products and services to businesses, governments, and individuals worldwide. MUFG Banks parent, Mitsubishi UFJ Financial Group, Inc. (MUFG) is one of the worlds leading financial groups. Headquartered in Tokyo and with over 360 years of history, the Group has about 120,000 employees and offers services including commercial banking, trust banking, securities, credit cards, consumer finance, asset management, and leasing.The Group aims to be the worlds most trusted financial group through close collaboration among our operating companies and flexibly respond to all the financial needs of our customers, serving society, and fostering shared and sustainable growth for a better world. MUFGs shares trade on the Tokyo, Nagoya, and New York stock exchanges.For more information, visitMUFG Global Service Private Limited:Established in 2020, MUFG Global Service Private Limited (MGS) is 100% subsidiary of MUFG having offices in Bengaluru and Mumbai. MGS India has been set up as a Global Capability Centre / Centre of Excellence to provide support services across various functions such as IT, KYC/ AML, Credit,Operations etc. to MUFG Bank offices globally. MGS India has plans to significantly ramp-up its growth over the next 18-24 months while servicing MUFGs global network across Americas, EMEA and Asia PacificAbout the Role:Position Title: Model Validation ManagerCorporate Title:ManagerReporting to:Head of Model Risk Management Location: BengaluruJob Profile Position details:Independent model validation of quantitative methodologies, both initial and periodic, across all asset classes and model types (derivative pricing models, credit and market risk, capital models, AI models, etc. ) and in line with regulatory requirements and industry best practice. The validation regularly requires an independent implementation of the models and the implementation of alternative challenger models.Roles and Responsibilities:

Initial and periodic validation of quant models
Designing, modeling and prototyping challenger models
Quantitative analysis and review of model frameworks, assumptions, data, and results
Testing models numerical implementations and reviewing documentations
Checking the adherence to governance requirements
Documentation of findings in validation reports, including raising recommendations for model improvements
Ensuring models are validated in line with regulatory requirements and industry best practice
Tracking remediation of validation recommendations
Preparation of model risk reporting for Model Oversight Committee and Board

Job Requirements:Experience :Essential:

At least 5 years of relevant experience in quantitative modeling (model development or validation) in one or more of these topics:
Market risk models
Counterparty credit risk models
Derivatives pricing models

Competencies:Essential:

Good background in Math and Probability theory- applied to finance.
Good knowledge of Data Science and Statistical inference techniques.
Good understanding of financial products.
Good programming level in Python.
Good knowledge of simulation and numerical methods.
Awareness of latest technical developments in financial mathematics, pricing, and modeling Beneficial:
Up-to-date knowledge of modeling related UK regulatory requirements including Model Risk
Experience with AI models
Experience with C++ or C# or equivalent

Education:

A Postgraduate degree in a quantitative discipline (e.g., statistics, mathematics, mathematical finance, econometrics)

Personal Requirements:

Strong problem-solving skills
Strong numerical skills
A structured and logical approach to work
Excellent attention to detail
Excellent written and oral communication skills
Ability to clearly explain technical matters
A pro-active, motivated approach

Equal Opportunity Employer:The MUFG Group is committed to providing equal employment opportunities to all applicants and employees and does not discriminate on the basis of race, colour, national origin, physical appearance, religion, gender expression, gender identity, sex, age, ancestry, marital status, disability, medical condition, sexual orientation, genetic information, or any other protected status of an individual or that individual's associates or relatives, or any other classification protected by the applicable laws.

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