Model Validation - Lead - Pricing/Counterparty Credit Risk

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.