Manager
Core
Manage credit risk appetite, concentration limits, and loss forecasting models to support MUFG's global business strategy and capital planning.
Role type
Senior IC credit risk modeler (quantitative)
Builds
Economic Capital production processes, credit risk frameworks, and stress loss forecasting models
Domain
Financial services / Credit Risk / Quantitative Modeling
Deliverable
production ML models
Required skills
Monte Carlo simulation, Probability of Default (PD) modeling, Loss Given Default (LGD) modeling, Exposure at Default (EAD) modeling, macroeconomic scenario analysis, statistical modeling (regression, multivariate analysis), data analytics (R, Python, Pandas), version control (Git/Bitbucket), cloud computing (AWS)
Preferred skills
Credit analytics function experience, Front Office experience in major commercial/investment banks, credit management platform software experience
Technologies
R, Python, Pandas, Git, Bitbucket, AWS, Moody's RiskFrontier
Responsibilities
Run and maintain monthly Economic Capital production processes; perform Monte Carlo simulations for catastrophic loss scenarios; manage credit risk appetite and concentration limit frameworks; implement and update proprietary credit risk models; forecast stress credit losses based on macroeconomic scenarios; standardize loan data extraction across regional systems; conduct peer code reviews and promote best coding practices.
Seniority
Senior, hands-on IC