Model Risk Management Analyst, AVP

MUFG • Toronto, ON

1d

About The Position

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.

Requirements

• 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
• Advanced degree of Masters or higher in statistics, finance, or other quantitative field

Nice To Haves

• Industry certifications a plus (e.g., CFA, FRM)

Responsibilities

• 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
• 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
• Conduct model/non-model assessment
• Issue/finding closure, and model annual review
• Support relationship with regulators and internal audit
• Team player, ability to communicate technical concepts to non-technical audience

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level