Model validation - Market Risk

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Position details

The use of models presents model risk, which is the potential for adverse consequences from decisions based on incorrect or misused model outputs and reports. Model risk can lead to financial loss, poor business and strategic decision-making, or damage to a banking organization’s reputation. Model validation is the set of processes and activities intended to verify that models are performing as expected, in line with their design objectives and business uses.

The candidate will report to the Head of Model and EUCC Risk in MGS India. The team is responsible for the enterprise-wide model validation and control function to ensure the continued safety and soundness of models used across the bank. Model Risk Management touches models across all lines of businesses and the candidate will have opportunities to work in validation across all areas of the bank.

This is a hands-on individual contributor role focused on independent validation and effective challenge of market risk models.

Roles and Responsibilities

• •Independently validate market risk models, including VaR, Stressed VaR, Expected Shortfall, Incremental Risk Charge (IRC), sensitivities-based measures, scenario/stress testing models, and FRTB SA and IMA components (risk factor eligibility, P&L attribution, backtesting, NMRF)
• •Conduct end-to-end validation, including review of modeling methodologies, assumptions and limitations, risk factor mappings, historical data and proxy choices, calibration, implementation logic, and numerical robustness
• •Design and execute independent testing and benchmarking, including sensitivity analysis, hypothetical/actual P&L backtesting, stress testing, and benchmarking against alternative methodologies
• •Support assessment of compliance with Americas Model Risk Management Policies and Procedures, U.S. regulatory expectations, and Basel market risk standards (including FRTB)
• •Engage with model development, market risk, front office, and technology teams to challenge methodologies, resolve validation findings, and support remediation while maintaining independence
• •Prepare clear and concise validation reports for senior management, model risk committees, auditors, and regulators
• •Contribute to activities across the model lifecycle — inventory classification, ongoing performance monitoring, annual reviews, issue tracking, and assessment of material model changes
• •Liaise with colleagues across locations to ensure effective coordination with the global model risk organization

Job Requirements

• •1–6 years of experience in market risk model validation, model development, market risk analytics, or front-office quantitative roles within a bank or financial institution
• •Working knowledge of market risk modeling concepts — VaR/ES methodologies (historical simulation, Monte Carlo, parametric), risk factor modeling, time-series analysis, P&L attribution, and backtesting frameworks
• •Exposure to FRTB (SA and/or IMA) and/or Basel 2.5 market risk standards is strongly preferred
• •Familiarity with derivative pricing across at least one asset class (Rates, Credit, Equities, FX, Commodities) and the associated risk sensitivities
• •Solid grounding in quantitative finance, probability, statistics, and stochastic calculus
• •Awareness of model risk management frameworks and regulatory guidance such as FRB SR 11-7, OCC 2011-12, and Basel market risk standards
• •Proficiency in at least one programming language used in quantitative analysis (e.g., Python, C++, R)
• •Strong verbal and written communication skills, with the ability to clearly document findings and engage with stakeholders
• •Advanced degree (Master’s or PhD preferred) in Quantitative Finance, Mathematics, Statistics, Physics, Engineering, or a related discipline

Mitsubishi UFJ Financial Group (MUFG) is an equal opportunity employer. We view our employees as our key assets as they are fundamental to our long-term growth and success. MUFG is committed to hiring based on merit and organsational fit, regardless of race, religion or gender.