Quantitative Modelling -Analyst

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

Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), one of the world’s leading financial groups. Across the globe, we’re 150,000 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.

Position details

C#/C++ professional with hands on experience to help MUFG Quant Strats team in developing features for in-house custom front office pricing engine. The person will be responsible for delivering on in scope user stories

Roles and Responsibilities

• Validation/development of valuation models across asset classes - equities, commodities, rates, credit, mortgages
• Knowledge and understanding of Stochastic Calculus.
•  Experience with pricing models like Hull & White 1F/2F (or other interest rate models), SABR, Local Volatility, Stochastic local volatility, hybrid etc.
• Basel norms, RWA/capital calculation knowledge
• Development, testing and validating pricing models using C++/C#/Excel VBA/Python/etc tools
• Understanding of Mathematics and statistics in terms of linear algebra, probability theory
•  Basic understanding of fixed income and equity derivatives, volatility surfaces, interest rate curve construction and Greeks
• Counterparty Credit Risk Experience (good to have)
• Knowledge of regulatory guidelines for model risk management (good to have)
• Good understanding of workings of a Bank (processes, Committees, systems etc.) and Banking products across fixed income, derivatives, retail etc.
• Understanding of VaR and different VaR modelling and Backtesting techniques (good to have)
•  Understanding of statistical concepts/time series modelling
• Experience in C++/C#
• Experience on Debugging in a C++/C#, working with risk & pricing lib/engines
• Experience with C++/C# testing frameworks for unit and integration tests 
• Experience with data classes
• Project Management and/or BA skills with working experience of JIRA and Confluence, UAT testing, etc

Job Requirements:

• 3-7 years of relevant work experience
• Master's degree/PhD in Mathematics/Financial Engineering/Quantitative Finance/other quantitative disciplines with strong understanding of valuation theories/concepts
• FRM/CQF/CFA certification would be a plus
• Knowledge of programming languages (C++, C#, Excel VBA, Python etc.)
• Strong quantitative background - experience in model development or validation  
• Skills and attributes :
• In addition to technical competence, what will set you up for success is your ability to:
• Strong communication, documentation, facilitation, relationship-building, presentation and negotiation skills
• Be highly flexible, adaptable, and creative
• Broad consulting and project management skills, effective written and oral communication skills

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.