Quantitative Assistant Vice President

Risk Analytics Group (RAG) is a specialised area within the Risk Department, responsible for Market Risk Models, Capital Models, Counterparty Exposure Models and Risk models in general. The team members have strong quantitative skills and the team head reports to the local and international Chief Risk Officer. This role is part of the Portfolio Credit Analytics sub‑team of RAG. The team is responsible for the development and maintenance of economic capital models, portfolio credit risk models, scenario based stress testing models, product specific stress testing models, and rating models. The candidate will participate in the development and maintenance of economic capital models, stress expected loss models, and other stress testing models. The candidate will work with other colleagues in the team, in the wider Risk Analytics Group, and in the Risk area, in particular credit risk managers and model validation.

• 
  
• Developing, maintaining and improving economic capital models and other models the team is responsible for such as ECL stress testing.
  
• Designing and running model validation tests, for both model assumptions and implementation.
  
• Investigating issues and proposing changes where there are model weaknesses.
  
• Specifying and testing system changes to implement improvements.
  
• Ad-hoc projects as required, including collaboration with business, Credit Risk Management and Model Validation.
  
• Investigating issues relating to the Credit Risk Models.
  
• The role holder will be assessed in accordance with their employing entity's performance framework and process with relevant input obtained from the dual hatting entity as relevant.
  
• As duties and responsibilities change, the job description will be reviewed and emended in consultation with the role holder.
  
• The role holder will carry out other duties as are within the scope, spirit and purpose of the role as requested by their line manager or Department Head.
  
• The role holder is required to follow regulatory requirements applicable to ensure each business is appropriately supported and to maintain the legal entity integrity of each of MUFG Bank and MUS.
  
• Working terms are dictated by functional mandates, the terms of the Dual‑Hat Arrangement Agreement in place between MUFG Bank and MUFG Securities EMEA plc and any other relevant agreements entered into between MUFG Bank and MUFG Securities EMEA plc.
  
• The role holder will have responsibility for identifying and resolving where there may be a difference or conflict in needs between MUFG Bank and MUFG Securities EMEA plc, escalating to their manager where required.
  
• We are open to considering flexible working requests in line with organisational requirements.
  

• 
  
• Previous experience with statistical models in finance
  

• 
  
• Previous experience in Economic Capital models, including PD, LGD and EAD modelling
  
• Previous experience in Portfolio Credit Risk modelling
  

• 
  
• 2 to 5 years experience in a Financial Services firm
  

• 
  
• Strong knowledge in statistics
  
• Knowledge of advanced programming languages (Python)
  
• Portfolio Credit Risk modelling
  
• Knowledge of basic theory of default modelling, Highly numerate education (Maths, Statistics, Engineering, Computer Science) at MSc level or above, Excellent communication skills with the ability to adjust to different audiences
  
• Highly motivated and innovative, able to work on own initiative
  
• Excellent accuracy and attention to detail with an analytical mind‑set
  
• Good team player with professional attitude
  
• Good time management and ability to prioritise
  
• Ability to manage large workloads and tight deadlines, balancing urgent tasks and longer term projects
  
• Strong decision making skills, the ability to demonstrate sound judgement
  
• Strong problem solving skillsStrong numerical skills
  

Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), one of the world's leading financial groups. Across the globe, we're 150,000 colleagues, striving to make a difference for every client, organization, and community we serve. We stand for our values, building long‑term relationships, serving society, and fostering shared and sustainable growth for a better world.

With a vision to be the world's most trusted financial group, it's part of our culture to put people first, listen to new and diverse ideas and collaborate toward greater innovation, speed and agility. This means investing in talent, technologies, and tools that empower you to own your career. Join MUFG, where being inspired is expected and making a meaningful impact is rewarded.