MUFG Global Service in Bengaluru is hiring for its market risk model validation team. You will independently validate market risk models such as VaR, Stressed VaR, Expected Shortfall, Incremental Risk Charge, sensitivity-based measures, stress testing models and FRTB SA/IMA components (risk factor eligibility, P&L attribution, backtesting, NMRF). The work covers reviewing methodologies, assumptions, risk factor mappings, data and proxies, calibration and implementation, plus independent testing and benchmarking through sensitivity analysis, P&L backtesting and stress testing, working with the global model risk team.
Requirements: 1 to 6 years of experience in market risk modelling or model validation, with strong quantitative skills.