The Risk Analytics Group (RAG) is the specialised area within the Risk Department responsible for Market Risk Models, Capital Models and Counterparty Exposure Models. The Counterparty Exposure Analytics and Standardised Models sub‑team develops and maintains models for Potential Future Exposure (PFE), Standardised Initial Margin Model (SIMM) and FRTB‑ASA, along with stress testing and Credit Valuation Adjustment models. Responsibilities

Provide counterparty risk modelling for MUFG's banking and securities business under a dual‑hat arrangement, exercising the same remit and authority for both entities. Maintain specifications of the SIMM risk model calculation and its inputs. Specify and test system changes to implement improvements. Develop, maintain and improve counterparty exposure models. Assist with PFE model development and maintenance, including calibration and back‑testing. Review stress exposure metrics. Test risk output for new products to be handled in the models. Run model performance tests for model assumptions and implementation, and improve this process. Analyse results of ongoing model performance tests, investigate issues and escalte results where appropriate. Prepare summary reporting to model oversight committee, MUFG Group and regulators. Improve existing operational controls around the models and propose new ones to increase robustness. Develop the SIMM analytics library Python package. Support business and credit department requests in investigations into pre‑trade calculations. Support Legal and Operations department in managing counterparty relationships. Ad‑hoc projects as required, including collaboration with Market Risk Analytics and model validation. Proactively contribute to wider Risk function initiatives and projects.

Essential Requirements

Previous experience in pricing models. Approx. 2 years total relevant experience.

Preferred Requirements

Previous experience in a risk‑related role. Experience in SIMM, FRTB‑ASA or exposure models. Experience in banking, consulting, auditing or other relevant financial services.

Required Skills and Experience

Finance or highly numerate education (Maths, Statistics, Engineering, Computer Science, Finance). Understanding of financial markets and products including derivatives. Familiarity with principles of derivatives pricing. Experience with Python/R/Excel/VBA.

Desirable Skills

Understanding of counterparty exposure measures such as PFE, EE, CVA. Knowledge of advanced programming languages (C#, C++). Knowledge of stochastic calculus.

Personal Requirements

Excellent communication skills with the ability to adapt 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 judgment. Strong problem‑solving skills. Strong numerical skills.

Working Conditions We are open to considering flexible working requests in line with organisational requirements. #J-18808-Ljbffr