Senior Quantitative Analyst

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.

The selected colleague will work at an MUFG office or client sites four days per week and work remotely one day. A member of our recruitment team will provide more details.

Evaluating risk/return using Stress Loss Modeling (Simulation Scenarios, Economic Capital and Single Scenarios), and Regulatory Capital as linked to Risk Appetite Statement, limits and thresholds. Managing credit risk appetite and credit concentration management frameworks in coordination with Lines of Business and Credit Administration. This includes regular monitoring of MUFG's limit compliance status, performing annual refresh of risk appetite and concentration limits and, when limits are breached, developing limit overage remediation plans. Performing credit portfolio modeling including Economic Credit capital modeling, credit portfolio stress testing and Early Warning Indicator modeling. Developing relational databases to support the team's credit portfolio management and credit portfolio modeling responsibilities including design and implement databases and data processing procedures for large datasets (minimum 1 million rows of data records) with R and Python programming languages. Quantifying credit risk for structured credit investments products including CDO, CLO, RMBS, and CMBS. Developing return on risk analyses for capital allocation discussions with Economic Capital (EC), Regulatory Capital and other stress risk metrics/tools. Producing Economic Capital policy (Simulation-based Stress Loss). Integrating risk management with Capital Management. Developing, maintaining, and coordinating Early Warning Model (Americas-focused) with MUFG Head Office Credit Policy & Planning Division.

Qualifications - External

Education: Master's degree in Financial Engineering, Statistics or a related quantitative field (or foreign equivalent degree).

Experience: 3 years of credit portfolio management experience in the banking or financial services industry including credit risk appetite framework development and management; credit concentration risk management; credit portfolio modeling including economic credit capital modeling, credit portfolio stress testing and Early Warning Indicator modeling; relational databases design and implementation for large datasets (minimum 1 million rows of data records) with R and Python programming languages; and quantifying credit risk for structured credit investments products including CDO, CLO, RMBS, and CMBS.

Alternate: In the alternative, the Employer will accept a Bachelor's degree in Financial Engineering, Statistics or a related quantitative field (or foreign equivalent degree) plus 5 years of credit portfolio management experience in the banking or financial services industry including credit risk appetite framework development and management; credit concentration risk management; credit portfolio modeling including economic credit capital modeling, credit portfolio stress testing and Early Warning Indicator modeling; relational databases design and implementation for large datasets (minimum 1 million rows of data records) with R and Python programming languages; and quantifying credit risk for structured credit investments products including CDO, CLO, RMBS, and CMBS.

Other: Position requires employment in-office 4 days per week and remotely 1 day per week.

Wage: $125,000 to $170,000 U.S. dollars per year

Employer: MUFG Bank, Ltd.

Location: New York, NY 10020

Reference internal requisition# 10064514-WD.

We are committed to leveraging the diverse backgrounds, perspectives and experience of our workforce to create opportunities for our people and our business; Equal Opportunity Employer: Minority/Female/Disability/Veteran.

The above statements are intended to describe the general nature and level of work being performed. They are not intended to be construed as an exhaustive list of all responsibilities duties and skills required of personnel so classified.

We are proud to be an Equal Opportunity Employer and committed to leveraging the diverse backgrounds, perspectives and experience of our workforce to create opportunities for our colleagues and our business. We do not discriminate on the basis of race, color, national origin, religion, gender expression, gender identity, sex, age, ancestry, marital status, protected veteran and military status, disability, medical condition, sexual orientation, genetic information, or any other status of an individual or that individual's associates or relatives that is protected under applicable federal, state, or local law.