Vice President, Model Risk

9 hours ago

Singapore MUFG BANK, LTD. SINGAPORE BRANCH Full time

**Job responsibilities**:
The VP/AVP role within the market risk management department (Model risk team) will be in charge of performing derivatives pricing model validation, model risk analysis, new product assessment and technical support to product control and market risk team to monitor market risk activities undertaken by Global Markets (Trading) and Treasury (ALM) and participating UAT in various projects, e.g. benchmark/Libor Transition project. The scope of products spans interest rate derivatives (including Interest Rate Options) and FX derivatives (including FX Options).

**[Model Risk]**
- Perform independent model validation for derivatives pricing models across interest rates and FX and market risk related models and write validation report;
- Prepare daily market conduct check reports for the traders/dealers e.g. off-price check;
- Provide new product assessment for Singapore and regional branches;
- Conduct outsourcing review and system review etc;
- Participate in various projects e.g. Benchmark/Libor transition, IRRBB, PFE etc.
- Support Head Office’s initiatives, middle office systems implementation in Singapore and other Asia Branches;
- Liaise with/answer inquiries from stakeholders, including Global Markets, Treasury, Front office, Back-office and Tokyo Head Office;
- Supervise junior staffs
- Provide technical support to product control, market risk and liquidity risk teams;
- Liaise with internal / external auditors and regulators by providing necessary information/ analysis;
- Support regional branch in all model risk related matters.

**Job Requirements**:

- Highly numerical degree in financial engineering, mathematics, physics, statistics, quantitative finance or in quantitative related fields
- 3-year working experience in derivatives model validation/quants/counterparty credit risk
- Proficient in stochastic processes and derivatives pricing
- Numerical programming skills e.g. VBA, Python, Matlab, C++
- Good initiative and inter-personal skills, ability to work efficiently in a team and independently.
- Good communication skills (both verbal & writing) with colleagues in Singapore and regional branch
- We regret to inform that only shortlisted applicants will be notified. _
- Job ID: _**_10053174_

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