MUFG
Associate, Systematic Credit Research Quant
New York, NY
Sponsorship not specified$140k-$171kDetected 2 days ago
PythonJavaC++C#MATLAB.NETBackend DevelopmentData StructuresAlgorithmsSQLAWSAzureDockerLinuxStatisticsComplianceFinancial ModelingExcelValuationJUnitSASResearchProblem SolvingCritical Thinking
About the 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.
- Join MUFG, where being inspired is expected and making a meaningful impact is rewarded.
Responsibilities
- Build and maintain the various simulation-based models used by Middle Office Credit Risk Management, Market Risk Management and Enterprise Risk Management
- Collaborate on back-end server-side development for the running of large simulation batches which generate calculated risk
- Support development of extensions to the pricing tools and code library
- Build new library capabilities
- Build and maintain front office tools
- Maintain inter-system message formats
Requirements
- Degree or equivalent work experience equally preferable.
- They are not intended to be construed as an exhaustive list of all responsibilities duties and skills required of personnel so classified.
- Advanced knowledge of XVA systems (e.g., CVA and FVA) including:
- Master of Science Degree preferred computer science, physics, mathematics, or engineering
Nice to have
- Docker, Python, Hadoop and Azure
- Java Server side development - Low latency techniques
- Developer level testing using Junit
- COM Excel integration
- designing robust distributed messaging systems
- external vendors' API (preferably STP relevant)
- MIFID-II and banking regulation in general
- curve bootstrapping - choices of instrument / interpolation / curve shape
Skills
- Advanced knowledge of XVA systems (e.g.,
- theory: mathematical finance, core concepts and edge cases
- pricing tools: design, Excel, VBA
- Strong understanding of testing and automation
- Strong understanding of how to translating functional requirements into technical solutions
- Well-versed in all areas of delivering technical solutions
- Experience delivering projects on time, and prioritizing conflicting imperatives
- Experience with
- batch running and support
- grids: internal and cloud, e.g. AWS, Azure
- tools and how they go wrong
- price/explain experience
Compensation
- The typical base pay range for this role is between $140K - $171K depending on job-related knowledge, skills, experience and location.
This listing is sourced directly from MUFG's careers page and normalized into a canonical job model.