Model Validation_Pricing Models Professional
MUFG Bank · Mumbai · onsite · Posted 1d ago
Undisclosed6–11 yrsfulltimeSourced from
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About this role
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 150,000 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.
Position details
The use of models presents model risk, which is the potential for adverse consequences from decisions based on incorrect or misused model outputs and reports. Model risk can lead to financial loss, poor business and strategic decision-making, or damage to a banking organization s reputation. Model validation is the set of processes and activities intended to verify that models are performing as expected, in line with their design objectives and business uses.
The candidate will report to the Head of Model and EUCC Risk in MGS India. The team is responsible for the enterprise-wide model validation and control function to ensure the continued safety and soundness of models used across the bank. Model Risk Management touches models across all lines of businesses and the candidate will have opportunities to work in validation across all areas of the bank.
This is a hands-on individual contributor role focused on independent validation and effective challenge of market risk models.
Roles and Responsibilities
- Independently validate counterparty credit risk and XVA models, including:
- Exposure models: PFE, EPE, EEPE, EAD; Monte Carlo simulation engines; netting and collateral (CSA) modeling, margin period of risk (MPoR), and initial margin under ISDA SIMM
- XVA models: CVA, DVA, FVA etc - including underlying pricing, calibration, and Greeks
- Regulatory capital models: SA-CCR, IMM components, default risk charge, and CVA capital (BA-CVA / SA-CVA under Basel III final reforms.
- Conduct end-to-end validation, including review of modeling methodologies, assumptions and limitations, risk factor evolution (HW, LMM, SLV, etc.), calibration approaches, proxy choices, implementation logic, and numerical robustness
- Design and execute independent testing and benchmarking, including sensitivity analysis, convergence and stability tests, stress testing, backtesting of exposure profiles, and benchmarking against alternative methodologies or market practices
- Review underlying pricing models across asset classes (Rates, Credit, FX, Equities, Commodities) that feed into XVA and exposure calculations
- Support assessment of compliance with Americas Model Risk Management Policies and Procedures, U.S. regulatory expectations, and Basel CCR standards (SA-CCR, IMM, CVA framework)
- Engage with model development, XVA desk, counterparty credit risk, front office, and technology teams to challenge methodologies, resolve validation findings, and support remediation while maintaining independence
- Prepare clear and concise validation reports for senior management, model risk committees, auditors, and regulators
- Contribute to activities across the model lifecycle - inventory classification, ongoing performance monitoring, annual reviews, issue tracking, and assessment of material model changes
Job Requirements
- 6 to 11 years of experience in CCR/XVA model validation, model development, XVA desk quant, or front-office quantitative roles within a bank or financial institution
- Working knowledge of counterparty credit risk and XVA concepts - Monte Carlo exposure simulation, netting and collateral mechanics, CSA modeling, MPoR, and the CVA/FVA/KVA/MVA framework
- Familiarity with derivative pricing across at least one asset class (Rates, Credit, FX, Equities, Commodities), including stochastic models commonly used for exposure simulation (e.g., Hull-White, LMM, local/stochastic volatility)
- Exposure to regulatory frameworks: SA-CCR, IMM, Basel III CVA capital (BA-CVA / SA-CVA), ISDA SIMM, is strongly preferred
- Solid grounding in quantitative finance, probability, statistics, and stochastic calculus
- Awareness of model risk management frameworks and regulatory guidance such as FRB SR 11-7, OCC 2011-12, and Basel CCR standards
- Proficiency in at least one programming language used in quantitative analysis (e.g., Python, C++, R)
- Strong verbal and written communication skills, with the ability to clearly document findings and engage with stakeholders
- Advanced degree (Master s or PhD preferred) in Quantitative Finance, Mathematics, Statistics, Physics, Engineering, or a related discipline
Disclaimer: This job posting has been aggregated from external source. Role details, content, and availability are subject to change. Applicants are advised to confirm the latest information directly on the company website before applying.
Sourced from naukri
Skills
Counterparty Credit RiskModel RiskCalculusFXMarket Riskmathematicsclassificationbasel iiifinancial institutionModel Risk ManagementBankingEquitiesBacktestingCommunication SkillscompliancefinanceModel Development
About MUFG Bank
MUFG Bank
Banking
2.4k+
employees
1919
107 years old
Chiyoda-ku
Japan
About
MUFG (Mitsubishi UFJ Financial Group) is one of the worlds leading financial groups. Headquartered in Tokyo and with over 360 years of history, MUFG has a global network with over 2,500 locations in more than 50 markets including the Americas, Europe, the Middle East and Africa, Asia and Oceania. The Group has over 170,000 employees and offers services including commercial banking, trust banking, securities, credit cards, consumer finance, asset management, and leasing. Through close partnerships among our group companies, the Group aims to be the worlds most trusted financial group, flexibly responding to all of the financial needs of its customers, serving society, and fostering shared and sustainable growth for a better world. MUFGs shares trade on the Tokyo, Nagoya, and New York stock exchanges.
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