Model Developer

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Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), the 7th largest financial group in the world. Across the globe, we’re 120,000 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.

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Join MUFG, where being inspired is expected and making a meaningful impact is rewarded.

Job Summary:

The AVP position is crucial for developing, maintaining, and updating MUFG Americas internal PD/LGD risk rating models. This role enhances risk management, ensures model compliance, and contributes to the bank’s financial stability by providing accurate risk assessments. The position covers the entire modeling process, from default data collection to implementation, supporting the bank’s long-term growth objectives and risk management purposes.

Key Accountabilities:

Model development and Maintenance:

• Model Development: Lead the creation of robust PD/LGD risk rating models, incorporating best practices and advanced statistical techniques.
• Data Management: Oversee the entire data life-cycle, including collection, verification, and consolidation, to ensure high-quality inputs for modeling.
• Model Segmentation and Analysis: Perform detailed segmentation and analysis to enhance model precision and predictive power.
• Implementation: Ensure seamless integration of models into the bank’s risk management framework, providing ongoing support and updates as needed.

Model Governance:

• Working with model validation and governance teams to develop methods and metrics for ensuring all models continue to perform as expected and within ranges agreed to by internal model audit and model management committees.

Develop and Maintain Key Contacts:

• Collaborating closely with business line and risk managers to assess and manage firm wide risk management.

New Initiatives:

• Applying strong risk knowledge to solve problems independently, without relying on daily supervision.
• Providing support to the Group Manager on other initiatives such as Machine Learning rating model, and related quantitative researches.

Technical Skills:

• Exceptional skills in quantitative methods and coding skills, including statistical analysis and quantitative modeling, are necessary. Solid programing skills such as Python, R and SAS required.
• Excellent interpersonal and presentation skills are a must, including; the ability to lead and facilitate dialogue with business partners on key risk measurement issues, and the ability to collect pertinent data quickly and without unnecessary intrusion.
• Sound knowledge of credit products, principles, rules, guidelines, policies, approvals and understanding of credit terminologies in banking industry.

Experience & Abilities:

• 3+ years of relevant credit risk modeling experience in banking industry desired.
• Prior Basel II (PD/LGD/EAD models), IFRS 9 and stress testing experience a significant plus.
• Commitment to quality and accuracy with strong attention to details.

Education and Training:

• Bachelors degree or higher in quantitative field of study (e.g. statistics, mathematics, finance, or other quantitative field). Advanced degree preferred.

Working Conditions:

• Hybrid

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.