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Vice President, Credit Portfolio Analytics

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  • Requisition #: 26072018CR18
  • Job Type: Full Time
  • Location: Toronto, ON Canada
  • Brand: MUFG

Your potential. Your opportunity.

Join a financial group that’s as committed to your future as you are. At MUFG, we share a vision for our future, we share our successes, and we strive to bring out the best in each other in everything we do. As the 5th largest bank in the world, our diverse team is connected by a common ambition to create change for the better—from forging more dynamic career paths to driving progress in our communities, to continuously reshaping the standards of global financial services. Positive impact starts here; see the change you can make as we strive to become the world’s most trusted financial group.

MUFG is one of the world’s leading financial groups. With over 350 years of growing the financial health of the world’s greatest businesses, Mitsubishi UFJ Financial Group (MUFG) has a global network of 150,000 employees, with 2,300 offices and 300 entities in more than 50 countries. Our promise is simple. We serve our communities, foster economic growth and aim to become the preferred trusted financial advisers to our customers. Together, we have the unmatched expertise and global capabilities to meet the diversified needs of all our customers in the Americas and worldwide.

Role: VP Credit Portfolio Analytics

Job Summary

The Credit Risk Analyst II will assist with, and own responsibilities for the following activities associated with uncertainty loss modeling, or in other words: Credit Economic Capital (“EC” also Simulated Credit Stress Loss [“SimSL”]) Calculation:

  • Advance the use of high-performance computational loss modeling on MUFG credit portfolios.
  • Manage the Economic Capital monthly production process.
  • Enhance the existing EC analytical platform with an aim to expand Credit Strategies Group’s capabilities in utilizing EC for managerial stress testing, concentration management, and business strategic planning (i.e. portfolio optimization).
  • Manage EC validation process.

This role will work broadly with various teams involved in the MUAH and BTMUA’s Concentration Framework, especially as it relates to use of the Economic Capital metric.


Major Responsibilities

  • Take a leadership role in expanding CSG’s capabilities in utilizing EC for managerial stress testing, concentration management, and business strategic planning.
  • Lead the model updates on key parameter settings such as Correlation structure, PD/ LGD correlation and LGD volatility.
  • Assist on Credit Portfolio Risk Management projects by performing correlation and concentration analysis, hedge performance analysis, asset allocation and other portfolio management analysis;
  • Identify data and parameter improvements, portfolio and data settings enhancements within Risk Frontier.
  • Work with other team members within the Portfolio Analytics group as well as Credit Portfolio Management team to drill down on EC changes through PD, LGD, EAD, and Portfolio shifting or key setting changes.
  • Responsible for data processing, parameter estimation, impact analysis, and biennial Model Validation / Refinement.
  • Share the EC knowledge with other team members and continuously learn and gain knowledge in other risk analytical areas.

 

Notice: The above information on this job description has been described to indicate the general nature and level of work performed by incumbents. Other duties and responsibilities not specifically described may be assigned from time to time, consistent with knowledge, skills, and abilities of the incumbent.

 

Additional Requirements

 

  • Prefer Master’s Degree in Financial Engineering, Finance, Statistics, Mathematics or a related quantitative field (or foreign equivalent degree).
  • Requires 5-7 years of Credit Risk experience with knowledge of Moody’s Analytics products (RiskFrontier).
  • Superior quantitative capabilities and demonstrated analytical skills.
  • Position requires strong project management and communication skills, as well as outstanding analytical abilities and the ability to work efficiently and independently.
  • Ability to work with large datasets – required.
  • Position requires the application of strong analytical abilities, risk methodology knowledge, and finance/banking knowledge to enhance the bank's risk analytics.
  • Expertise with R, Python, or SAS data programming languages, also SQL required.
  • Strong focus on accuracy and reliability, so as to ensure confidence in results
  • Prior bank experience a plus, preferably from risk management.
  • Knowledge in Software Engineering and Machine Learning a plus.

Company

Chartered in 1981 and assuming its current identity as MUFG Canada Branch, our Canadian Branch is the premier Asia-based global bank in its market. We serve local and Japanese clients from the Atlantic to the Pacific with financial expertise across a number of key industries such as oil and gas, pipelines, power generation, automotive, transportation, and telecom.

The receipt of this application by MUFG Bank, Ltd., Canada Branch (“MUFG Canada Branch”), does not imply or guarantee employment. MUFG Canada Branch is an equal opportunity employer. We do not discriminate in hiring or in any other aspect of employment on the basis of the grounds enumerated in the Canadian human rights act. In addition, MUFG Canada Branch complies with applicable laws prohibiting discrimination in employment in every jurisdiction in which it maintains facilities. MUFG Canada Branch provides accommodation to individuals in accordance with the requirements outlined in Canadian human rights act and the Canada Labour Code.

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