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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. Americas Model Risk Management touches models across all lines of businesses in the Americas and the candidate will have opportunities to work in validation across all areas of the bank.
This is a hands-on role with the additional responsibility for leading a team of 3-5 model quants.
Roles and Responsibilities
Independently validate pricing models (Interest Rates, Credit, Equities, FX) and/or counterparty credit risk models (e.g., XVA, PFE/EPE, CVA, IMM components) used for trading, risk management, and capital purposes
Conduct end‑to‑end model validation, including review of modeling methodologies, assumptions and limitations, calibration approaches, implementation logic, and numerical robustness
Design and execute independent testing and benchmarking, including sensitivity analysis, stress testing, back‑testing, and comparison to alternative models or market practices
Assess compliance with Americas Model Risk Management Policies and Procedures and U.S. regulatory expectations
Engage with model development, front office, risk, 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; support regulatory examinations as required
Perform activities across the model lifecycle, including model inventory review and classification, ongoing performance monitoring, annual model reviews, issue tracking, and assessment of material model changes in line with model risk governance standards
Manage and develop a team of validators, ensuring the quality, consistency, and timely delivery of validation outputs
Liaise with colleagues across locations to ensure effective coordination across the global model risk organization
Job Requirements
6–10 years of experience in model validation, model development, or front‑office quantitative roles within a bank or financial institution
Strong expertise in derivative pricing models (across one or more asset classes) and/or counterparty credit risk models
Solid grounding in quantitative finance and advanced mathematics, including stochastic calculus
Experience reviewing or developing model methodologies, assumptions, calibration techniques, and implementations, with the ability to independently challenge model design and results
Familiarity with model risk management frameworks and regulatory requirements such as FRB SR 11‑7, OCC 2011‑12 (Model Risk Management), and Basel standards
Proficiency in at least one programming language used in quantitative analysis (e.g., Python, C++, MATLAB, R)
Excellent verbal and written communication skills, with experience interacting with senior stakeholders and regulators
Experience leading validation workstreams and/or mentoring junior team members in a high‑performance environment
Advanced degree (Master’s or PhD preferred) in Quantitative Finance, Mathematics, Statistics, Physics, Engineering, or a related discipline
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 organsational fit, regardless of race, religion or gender.
