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Credit Risk Software Engineer

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  • Requisition # Req #202
  • Job Type Salary
  • Date Posted 08/09/2022
  • Location Toronto, ON

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 Credit Risk Software Engineer

Job Summary:In this role the employee will develop and manage global and regional credit portfolio risk analytics for the global MUFG credit portfolio. Specific responsibilities include: • Design and develop credit models and end-user analytic tools. • Advance best practice credit portfolio risk management (e.g. Economic Capital Modeling, Stress Test Modeling, Credit Risk Appetite & Concentration Limits, Early Warning Indicator Modeling/Reporting).
Primary Accountabilities:
  • Run, maintain, and update the monthly production processes for generating loan-level Economic Capital results.
  • Perform Monte Carlo simulations of Economic Capital (catastrophic losses that occur in crisis scenarios) using vendor models such as Moody's RiskFrontier.
  • Assist standardization of Economic Capital modeling across ALL MUFG regions.
  • Align EC modeling parameters (e.g. quantification of systematic risks in individual credit position, PD/LGD correlation, etc.)
  • Develop/enhance MUFG's Economic Capital production process.
  • Conduct peer code reviews, promote best coding practice, explore cutting-edge technologies and tools for production process automation.
  • Work with stakeholders and partners across MUFG’s global organization (often with conflicting interests).
  • Develop and promote tools and technology to facilitate stakeholder communications.

Credit Risk Framework:
  • Manage credit risk appetite and concentrations management limit frameworks. Link credit risk appetite and concentration limits to MUFG business strategy (capital/earnings).
  • Support MUFG credit portfolio quality vs. current and future economic/market trends.
  • Participate in policy review and updates – in coordination with key regional and global stakeholders.
  • As SME, assist risk identification and materiality measurement within the Americas Region.
  • Credit Loss Forecasting Models:
  • Forecast stress credit losses according to preformatted macroeconomic scenarios:
  • Implement and update proprietary credit risk models (e.g. Probability of Default / Loss Given Default / Exposure at Default) for all loan exposures and loan types.
  • Assess and standardize loan data extraction from numerous regional and global systems – supporting credit portfolio modeling.
  • Implement ICAAP stress tests
  • Forecast ACL for the annual ICAAP stress testing cycle.For assigned accounts, provide oversight of covenant compliance, facility closing due diligence, legal documentation and ongoing monitoring of credit conditions, if any

Experience Required:
  • 5+ years work experience with credit analytics (or equivalent) function preferred.
  • 2+ years work experience in/or supporting Front Office function (e.g. credit, markets, etc.) within a major commercial or investment bank, insurance company, or similar international financial business.
  • Understanding of / or direct Experience with cloud computing (i.e. AWS).
  • Active participation in leading/advocating projects. Strong teamwork abilities.
  • Excellent critical thinking, problem-solving abilities. • Highly motivated, strong attention to detail, organized.
Education Required:
  • Minimum Bachelor’s degree (Masters/PhD welcome) with emphasis on quantitative methods and tools (i.e. Computer Science, Engineering, Finance, other disciplines).
Work Environment:
  • WFH-Split

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.

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  • Pay TypeSalary
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