Associate, Systematic Credit Research Quant

MUFG•New York, NY

13d•$140,000 - $171,000•Hybrid

About The Position

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.

Requirements

Experience in Java development building execution, risk management and pricing Algos
Experience within a technology organization in the banking, financial services, or financial technology industries
Advanced knowledge of XVA systems (e.g., CVA and FVA) including: theory: mathematical finance, core concepts and edge cases; library: coding C#, M#, design, architecture, speedups and cost saving potential; pricing tools: design, Excel, VBA
Strong understanding of testing and automation
Strong understanding of how to translating functional requirements into technical solutions
Well-versed in all areas of delivering technical solutions
Experience delivering projects on time, and prioritizing conflicting imperatives
Experience with batch running and support; grids: internal and cloud, e.g. AWS, Azure; tools and how they go wrong; price/explain experience; model development to production
Fluency in commonly used exchange protocols
Working knowledge of FO pricing tools and related regulation
Knowledge of pricing theory and financial engineering
Knowledge of flow rates mechanics and product valuation (swaps / bonds / futures / cross currency swaps)
Understanding of trade sensitivities and P&L attribution (interest rates products)
Understanding of how to validate results from large data sets for completeness and correctness
Understanding of Excel as used for pricing tools
Proficient in one or more of the following: coding in C++, .NET, Python, Java, SQL, R, MATLAB; database management systems; statistical analysis software (e.g., MATLAB, SAS, R, S-Plus); advanced spreadsheet skills; data structures; algorithms; distributed computing; Linux OS; Microsoft SQL Server running on Windows
Some practical experience delivering large server side applications with pre and post processing of high volumes of complex data (e.g. trade pricing data, market data, simulated distributions, hierarchical aggregation)
Some practical experience developing applications for financial instruments, derivative pricing, algorithmic high-frequency trading purposes, or similar
Some practical experience with pricing or simulation-based risk systems, risk engines
Passion for numbers and financial models trading, probability and financial models
Knowledge of banking regulations
Communicates effectively
Identifies multiple paths to success using analytical and critical thinking as well as decision-making skills
Exercises sound judgement, prioritizes effectively, and strives for continuous improvement
Effectively collaborates with colleagues
Leverages available technology to drive efficiency and results
Understands and applies industry trends and best practices
Exhibits optimism, resilience, flexibility, and openness to others' ideas
Values learning as a lifelong professional objective
Engages inclusively and with intent
Always acts with integrity
Results-driven, with a strong sense of accountability
Proactive and motivated, with a strong sense of urgency
Strong problem-solving skills
Structured and logical
Creative and innovative
Excellent attention to detail and accuracy

Nice To Haves

Docker, Python, Hadoop and Azure
Java Server side development – Low latency techniques
Developer level testing using Junit
Linux OS
.NET core
COM Excel integration
designing robust distributed messaging systems
external vendors’ API (preferably STP relevant)
MIFID-II and banking regulation in general
curve bootstrapping - choices of instrument / interpolation / curve shape
market data knowledge (Bloomberg / Refinitiv etc.)
Front Office pricing tools
proprietary trading or exchange environments
various financial products related to the interest rate asset class (e.g. cap / swaption / repo / exchange trade options e/ funding etc.)
hands on support of trading / sales functions
derivative and cash based products

Responsibilities

Build and maintain the various simulation-based models used by Middle Office Credit Risk Management, Market Risk Management and Enterprise Risk Management
Responsible for the application layer that integrates with a number of specialist pricing and simulation engines, which includes a third party vendor system called Financial Risk Analytics (FRA)
Collaborate on back-end server-side development for the running of large simulation batches which generate calculated risk
Conduct projects that deliver new capabilities to the business, the library, and grids including: gathering functional and non-functional requirements from stakeholders, providing effort and duration estimation and sign-off from stakeholders, moving projects to and through the production process
Fix overnight batch issues as they arise
Support development of extensions to the pricing tools and code library
Build new library capabilities
Build and maintain front office tools
Ensure MiFID II regulatory compliance
Ensure inter-system connectivity and STP with external vendors such as Bloomberg API, MarkitWire API
Maintain inter-system message formats
Collaborate with the Quant team building Execution, Risk Management and Pricing Algos
Conduct component testing using Junit
Perform integration testing with the Automated Test team
3rd line Production Support