Assistant Vice President, Model Risk Manager

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The AVP, Model Validation Quantitative Analyst within the Quantitative Risk Control (QRC) supports best-practice model risk activities consistent with the MUFG Model Governance Program. The models include those used within the various Business Units for supporting Global trading, lending, pricing, Securitization, and Capital market activities.  

Responsibilities:

Model Risk Management:

• Developing, maintaining, and implementing the Bank's Model Risk Management Program covering Wholesale Credit risk models which are used for supporting risk scoring, decision-making, stress testing, ALLL/CECL/IFRS 9, economic capital estimation, financial reporting, and risk management
• Monitor model performance reports on an on-going basis to ensure models remain valid
• Applying strong risk knowledge to solve problems independently, without relying on daily supervision

Model Validation:

• Perform independent validations of various models developed based on statistical analysis and machine learning techniques
• Document the validation outcome in high-quality validation report and manage resolution of findings with model developers

Maintain Model Inventory:

• Conduct model/non-model assessment
• Issue/finding closure, and model annual review

Collaboration:

• Support relationship with regulators and internal audit
• Team player, ability to communicate technical concepts to non-technical audience 

Skills & Experience

• Strong skills in quantitative methods including statistical analysis, and credit risk modeling
• Strong skills in quantitative methods and computer technology, such as Python, R and SAS
• 3-5 years' experience in related field
• Strong understanding of financial services industry 
• Strong verbal/communication skills
• Attention to details

Education:

• Advanced degree of Masters or higher in statistics, finance, or other quantitative field
• Industry certifications a plus (e.g., CFA, FRM)

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.