Overview
Lead model validation for pricing and counterparty credit risk models at MUFG’s MGS India team, ensuring models perform as expected and meet model risk requirements.
What you'll do
- Independently validate pricing models (interest rates, credit, equities, FX) and/or counterparty credit risk models (e.g., XVA, PFE/EPE, CVA, IMM components).
- Conduct end-to-end model validation, including review of methodologies, assumptions, limitations, calibration, implementation logic, and numerical robustness.
- Design and execute independent testing and benchmarking such as sensitivity analysis, stress testing, back-testing, and comparisons to alternatives.
- Assess compliance with Americas Model Risk Management policies and U.S. regulatory expectations.
- Engage with model development and front office/risk/technology teams to challenge methodologies and support remediation while maintaining independence.
- Prepare validation reports for senior management, model risk committees, auditors, and regulators, and support regulatory examinations as required.
- Manage and develop a team of 3–5 model quants and coordinate with global model risk stakeholders.
What you'll need
- 6–10 years of experience in model validation, model development, or front-office quantitative roles within a bank or financial institution.
- Strong expertise in derivative pricing models and/or counterparty credit risk models.
- Solid grounding in quantitative finance and advanced mathematics, including stochastic calculus.
- Experience reviewing/developing model methodologies, assumptions, calibration techniques, and implementations.
- Familiarity with model risk management frameworks and regulatory requirements (FRB SR 11-7, OCC 2011-12, Basel standards).
- Programming proficiency in at least one language such as Python, C++, MATLAB, or R.
- Excellent communication skills with experience interacting with senior stakeholders and regulators.
Details
- Location: BCIT Bengaluru Office (MGS).
- Reports to the Head of Model and EUCC Risk in MGS India.
- Hands-on role with responsibility for leading a team of 3–5 model quants.
Read the full description and apply on the company’s own careers page.
