Quantitative Analyst - Model Risk Management (Market)

About the role

Mitsubishi UFJ Financial Group (MUFG) is hiring a quantitative analyst within its Quantitative Risk Control (QRC) team in Toronto. The role supports best-practice model risk activities under the MUFG UB Model Governance Program, covering models used across business units for global trading, capital markets, securitization and investment banking.

Key responsibilities

• Independent model validation and performance monitoring, including assessing conceptual soundness, model assumptions and data integrity
• Testing model numerical, statistical and computational accuracy and performing outcomes analysis
• Reviewing model governance and control processes
• Verifying model performance, including correct implementation, limiting behaviour and stress testing against extreme inputs
• Supporting relationships with regulators and internal audit

Required profile

• 2 to 5 years of experience in financial services, or equivalent academic experience
• Advanced degree in mathematics, finance, computer science, statistics, operations research, economics or another quantitative field
• Proven track record of model development, validation and oversight in areas such as market risk pricing, stress testing, securitization (ABS/CLO/CMBS), capital market/trading pricing and risk models, IPV models, rates, options and FX
• Excellent verbal and written communication skills

Required skills

• Working knowledge of at least one numerical and statistical tool
• Knowledge of model risk management and regulatory requirements such as FRB SR 26-2 and Volcker Rule; FRTB is a plus
• Preferred: experience in global trading and capital markets, IPV models, interest rate and currency pricing and risk management
• Preferred: experience with RiskMetrics, Calypso, Murex, QuIC, PolyPaths
• Certifications such as CFA or FRM are a plus