Model Development_Market Risk
BengaluruFull-time4–7 yrsPosted over a month ago
Mid-level risk role at MUFG Global Service in Bengaluru. Needs 4+ years and a CFA.
About the role
Risk Analytics Group (RAG) is a specialized area within the Risk Department, responsible for Market Risk Models, Capital Models, Counterparty Exposure Models, Portfolio and Credit Models, and Initial Margin models. The team members have strong quantitative skills and the team head reports to the regional and global Chief Risk Officer.
What you'll do
- Under this arrangement, you will act and make decisions on behalf of both the bank and the securities business, subject to the same remit and level of authority
- Assist with risk model development and maintenance
- Develop, maintain and improve market risk models
- Design and run model validation tests, for both model assumptions and implementation. Investigate issues and propose changes where there are model weaknesses
- Specify and test system changes to implement improvements
What you need
- Market risk
- Capital markets
- Excel
- Risk management
- Data analysis
- VBA
Good to have
- CFA
- Performance testing
- C#
- C++
- Python
- R