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Credit Risk Modeling Analyst, Associate

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  • Requisition # Req #4
  • Job Type Salary
  • Location Toronto, ON
  • Date Posted 01/30/2020

Your potential. Your opportunity.

Join a financial group that’s as committed to your future as you are. At MUFG, we share a vision for our future, we share our successes, and we strive to bring out the best in each other in everything we do. As the 5th largest bank in the world, our diverse team is connected by a common ambition to create change for the better—from forging more dynamic career paths to driving progress in our communities, to continuously reshaping the standards of global financial services. Positive impact starts here; see the change you can make as we strive to become the world’s most trusted financial group.

Mitsubishi UFJ Financial Group, Inc. (MUFG) is one of the world’s leading financial groups. Headquartered in Tokyo and with over 360 years of history, MUFG has a global network with over 2,700 locations in more than 50 markets. The Group has over 180,000 employees and offers services including commercial banking, trust banking, securities, credit cards, consumer finance, asset management, and leasing. MUFG aims to “be the world’s most trusted financial group” through close collaboration among our operating companies and flexibly responding to all of the financial needs of our customers, serving society, and fostering shared and sustainable growth for a better world. MUFG’s shares trade on the Tokyo, Nagoya, and New York stock exchanges. For more information, visit https://www.mufg.jp/english

Job Description: Credit Risk Modeling Analyst

Job Summary

As a member of the Wholesale Credit modeling team, this role is involved in all aspects of model development, implementation, and maintenance, in a challenging but intellectually interesting and collegial environment. In support of the bank’s overall credit risk management, Credit Risk Analyst assists in the development and management of a wide ranging inventory of models covering all aspects of credit loss analysis, including advanced internal ratings based methods, regulatory stress tests, CECL, economic capital, and more. Opportunities exist for wholesale (C&I and CRE) risk rating process and stress test management, depending on experience and interests. Opportunities exist as well with responsibilities more broadly focused project and governance management.

Primary Accountabilities

Risk measurement, analysis, and methodology design including

  • Assist in developing, documenting, implementing or otherwise enhancing models for credit loss measurement.
  • Working closely with business line and risk managers to assess and manage firm wide credit risk management
  • Working with model governance teams to develop methods and metrics for ensuring all models continue to perform as expected and within ranges agreed to by internal model audit and model management committees
  • Day-to-day execution of stress testing projects, which requires calculation of key risk parameters, utilizing data processing techniques, employing statistical methodologies, as well as, documentation, back-testing and validation. Assist and direct junior analysts when necessary.

Thought leadership, research, and ad hoc analysis:

  • Expected to stay informed of research trends and market best practices, share information with the teams and management
  • Assist in the evaluation, development and deployment of systematic methodology improvements.
  • Assist in validating methodologies of vendor purchased models and tools and related infrastructure to inform modeling strategy
  • Day-to-day management and execution of risk related projects, including ad-hoc data manipulation and analysis, working closely with the other members of the team. Identify potential problems and improve the process.
  • Enhance bank's risk analytics, modeling and reporting with strong analytical abilities and risk methodology.

Qualifications:

  • Graduate degree with 1 or 2 years of work experience in risk management or other analytical area preferred; Fresh graduate with PhD or Master degree will also be considered
  • In-depth knowledge of lending portfolios and credit risk modeling including Basel parameters estimation (PD, LGD, EAD, correlation) and bank credit loss forecasting modeling preferred
  • Working knowledge of SQL and one or more statistical languages such as SAS, R, or Python.
  • Excellent Excel skills
  • Strong data processing skills
  • Ability to work in a dynamic environment under pressure, and undertake, execute and deliver on-time multiple concurrent projects
  • Well-developed relationship management skills
  • Excellent written and verbal communication skills (English)
  • Profession certifications (e.g., CFA, FRM) are a plus.

Education Required:

  • Graduate degree in a quantitative discipline MSc, MMF or PhD preferred (Statistics, Finance, Economics, Econometrics, Mathematics, etc.)


Notice: The above information on this job description has been described to indicate the general nature and level of work performed by incumbents. Other duties and responsibilities not specifically described may be assigned from time to time, consistent with knowledge, skills and abilities of the incumbent.

Company

Chartered in 1981 and assuming its current identity as MUFG Canada Branch, our Canadian Branch is the premier Asia-based global bank in its market. We serve local and Japanese clients from the Atlantic to the Pacific with financial expertise across a number of key industries such as oil and gas, pipelines, power generation, automotive, transportation, and telecom. The receipt of this application by MUFG Bank, Ltd., Canada Branch (“MUFG Canada Branch”), does not imply or guarantee employment. MUFG Canada Branch is an equal opportunity employer. We do not discriminate in hiring or in any other aspect of employment on the basis of the grounds enumerated in the Canadian human rights act. In addition, MUFG Canada Branch complies with applicable laws prohibiting discrimination in employment in every jurisdiction in which it maintains facilities. MUFG Canada Branch provides accommodation to individuals in accordance with the requirements outlined in the Canadian human rights act and the Canada Labour Code.



©2020 Mitsubishi UFJ Financial Group, Inc. All rights reserved. The MUFG logo and name is a service mark of Mitsubishi UFJ Financial Group, Inc., and is used by MUFG Bank, Ltd., Canada Branch, with permission.


  • Job Risk
  • Primary Location Toronto, Canada
  • Shift Salary
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