Model Validation Quantitative Associate– Market Risk

MUFG; Toronto; Hybrid; CAD 80,000 - 110,000; Full time

Job summary

A leading financial group is seeking a model validation expert to ensure the integrity and performance of their financial models. The role involves assessing model soundness, developing risk management standards, and collaborating with regulators. Ideal candidates will have a strong analytical background and experience in Capital Markets. A hybrid work environment is offered, promoting a balance between in-office and remote work.

Qualifications

• 2 to 5 years of experience in the financial services industry.
• At least 2+ years in Capital Markets or Fixed Income valuation.

Responsibilities

• Responsible for independent model validation and performance monitoring.
• Assist in developing and implementing the Bank's Model Risk Management Program.
• Support relationships with regulators and internal audit teams.

Skills

Analytical Skills

Problem Solving

Education

Advanced degree in mathematics

Advanced degree in finance

Advanced degree in computer science

Advanced degree in statistics

Advanced degree in operational research

Advanced degree in economics

Tools

Python

C

SAS

MATLAB

R

Job description

Do you want your voice heard and your actions to count?

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.

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.

General Responsibilities :

• Responsible for independent model validation and performance monitoring, including assessing conceptual soundness, evaluating model assumptions and data integrity, testing numerical, statistical, and computational accuracy, performing outcomes analysis, and reviewing model governance and control processes.
• Assess the mathematical, statistical, theoretical, and conceptual soundness of each model. Validate models related to market risk by assessing conceptual soundness, evaluating assumptions and data integrity, ensuring computational accuracy, performing outcomes analysis, and reviewing governance and control processes.
• Verify model performance, including correct implementation, limiting behaviors, and responses to stress or extreme input conditions.
• Assist in developing, maintaining, and implementing the Bank's Model Risk Management Program.
• Contribute to establishing standards for managing model risk, including development, implementation, governance, documentation, and performance monitoring.
• Consult with model users on designing effective operational controls.
• Coordinate the resolution of findings with model owners and users, recommend management actions, and track remediation progress.
• Perform annual inventory reviews.
• Support relationships with regulators and internal audit teams.

Technical Skills :

• Experience with at least one numerical/statistical tool such as Python, C, SAS, MATLAB, R, etc.
• Knowledge of model risk management and regulatory requirements like OCC 2011-12, Basel II/III, Volcker Rule, FRTB is a plus.

Experience and Abilities :

• 2 to 5 years of experience in the financial services industry, with at least 2+ years in Capital Markets or Fixed Income valuation.
• Proven track record in model development, validation, and oversight in areas such as Capital Market trading, IPV models, Rates, Options, FX, stress testing, or securitization (ABS/CLO/CMBS).
• Strong analytical, logical reasoning, and problem-solving skills.

Education and Training :

• Advanced degree in mathematics, finance, computer science, statistics, operational research, economics, or other quantitative fields.

Working Conditions :

• Hybrid work environment.