Analyst, Market Risk Analytics

5 days ago


Singapore MUFG Bank, Ltd., Singapore Office Full time

Do you want your voice heard and your actions to count?
Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), one of the world’s leading financial groups. Across the globe, we’re 120,000 colleagues, striving to make a difference for every client, organization, and community we serve. We stand for our values, building long-term relationships, serving society, and fostering shared and sustainable growth for a better world.
With a vision to be the world’s most trusted financial group, it’s part of our culture to put people first, listen to new and diverse ideas and collaborate toward greater innovation, speed and agility. This means investing in talent, technologies, and tools that empower you to own your career.
Join MUFG, where being inspired is expected and making a meaningful impact is rewarded.
Job responsibilities:
The Analyst role within the market risk management department (Market risk analytics team) will be in charge of performing market risk/counterparty credit risk analysis, monitoring market risk activities undertaken by Global Markets (Trading and Treasury), counterparty credit risk activities undertaken by Global Markets (Trading and Sales), and participating in UAT for various projects, e.g., Potential Future Exposure project, IRRBB, benchmark/Libor Transition project. The scope of products spans interest rate derivatives (including Interest Rate Options) and FX derivatives (including FX Options).
(Market Risk)
Prepare daily, monthly, and other periodic risk reports and provide PnL & risk analysis for the bank’s trading and treasury portfolio for branches in Asia and Oceania;
Provide analysis of market risk exposures, VaR;
Provide market risk stress testing and analysis for branches in Asia and Oceania;
Provide market risk KRI monitoring;
Provide daily VaR back-testing;
Prepare Singapore/Regional ALM/MRM Committee material and provide market risk commentary;
Support Manager to conduct risk limit review;
Monitor, investigate, and report risk limit excesses;
Provide Volcker rule metrics reporting and analysis;
Monitor Benchmark submissions (SORA) and report to Benchmark Oversight Committee;
Perform ad-hoc project UAT to improve processes and operations;
Liaise with stakeholders, including Global Markets, Treasury, and provide market risk analysis/information;
Support Manager in liaising with internal/external auditors to ensure good practices are adopted in the bank;
Support Manager in liaising with regulators by providing necessary information/analysis;
Support Manager to ensure compliance with all relevant Group and local policies and procedures, including but not limited to Market Risk policies and procedures;
Support Manager in conducting annual/ad-hoc review of policies and procedures, including but not limited to Market Risk policies and procedures;
Liaise with internal stakeholders, including Global Markets, Treasury, Back-office, system division, product office, etc.;
Participate in centralization and streamlining projects;
Support regional branch in all Market risk related matters.
(Counterparty Credit Risk & Project Support)
Participate in UAT for Potential Future Exposure (PFE) project, e.g., run PFE simulation, calibration, backtesting, stress testing, and prepare the model document;
Participate in the development and maintenance of technical EUC tools, for example, IRRBB calculation;
Participate in the development and implementation of Wrong-way risk;
Participate in the implementation of CVA stress testing;
Support senior staff/participate in other various projects, e.g., Benchmark/Libor transition, etc.;
Support Head Office’s initiatives, middle office systems implementation in Singapore and other regional branches.
Job requirements:
Bachelor’s degree in financial engineering, mathematics, statistics, quantitative finance, data management, economics, or in quantitative related fields;
No prior experience required. Candidates with relevant internship experience may also be considered;
Good knowledge of banking and derivatives products;
Good experience in using Python, Power Query, Tableau, Excel with VBA skills;
Good initiative and interpersonal skills, ability to work efficiently in a team and independently;
Good communication skills (both verbal & written) with colleagues in Singapore and regional branches.
We regret to inform that only shortlisted applicants will be notified.
Mitsubishi UFJ Financial Group (MUFG) is an equal opportunity employer. We view our employees as our key assets as they are fundamental to our long-term growth and success. MUFG is committed to hiring based on merit and organizational fit, regardless of race, religion, or gender.
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