Vice President, Audit Model Risk

MUFG - Monterey Park, CA2.7

Full-time
Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), the 5th largest financial group in the world (as ranked by S&P Global, April 2018) with total assets of over $2.9 trillion (106.2 (JPY) as of March 30, 2018) and 150,000 colleagues in more than 50 countries. In the U.S., we’re 13,000 strong, working together to positively impact every customer, organization, and community we serve. We achieve this by delivering on our values, putting people first, fostering long-term relationships built on honesty and mutual understanding, and inspiring the best in each other. This is all part of our inclusive, high-performing culture supported by Total Rewards that include our cash balance pension plan. Join a team that’s working to fulfill its vision to be the world’s most trusted financial group.

Primary Responsibilities
Review quantitative modeling processes of Credit Risk Management, Capital Markets, Stress Testing (from scenario generation, to models and analytical tools and to ratio calculations); and validations of development, implementation and ongoing monitoring.
Review model risk management on stress testing model use scope and limit-setting, remediation of validation findings, and ongoing monitoring processes.
Provide Subject Matter Expert (SME) support on stress testing analytics (Credit, Equity, Market, Operation, Balance Sheet and PPNR) in other cross-matrix Internal Audit engagements.
Ability to run audits, manage projects and participate in audit assignments in a team environment to ensure on-time delivery and quality control.
Partner with colleagues, clients and control community members to evaluate, test and report on the adequacy and effectiveness of management controls. This is conducted in accordance with department policies and procedures, industry professional standards and supervisory rule and guidance (e.g. SR 12-7, SR 11-7 / OCC 11-12); and will require periodic reporting to senior client management.
Interact and maintain relations with regulators and internal clients.
Some travel may be required.

Qualifications:
Bachelor’s Degree or/and MA/MS/Ph.D. level in analytical fields (Finance, Economics, Statistics, Engineering)
4 to 8+ year of experience in stress testing, risk modeling (credit loss and OTTI) and/or financial modeling (PPNR and Balance Sheet)
Hands-on model development or validation experience with a solid grasp of risk and control framework in the end-to-end stress testing process
Exposure to wide variety of bank products and derivatives, balance sheets, risk analytics, validation methodologies and regulatory requirements
Highly organized and attentive to detail in project management.
Excellent written and verbal communication skills
Strong interpersonal skills, enthusiastic, self-motivated, effective under pressure

Skills desired
Detailed knowledge and experience of model development/validation with capital/risk/derivative pricing models across multiple asset classes
Some experience in financial services or in public accounting firms, with an appropriate level of exposure to and involvement with the products related to Credit Lending, Trading and Treasury businesses.
Internal audit experience is a plus.
The above statements are intended to describe the general nature and level of work being performed. They are not intended to be construed as an exhaustive list of all responsibilities duties and skills required of personnel so classified.

We are proud to be an Equal Opportunity / Affirmative Action Employer and committed to leveraging the diverse backgrounds, perspectives, and experience of our workforce to create opportunities for our colleagues and our business. We do not discriminate in employment decisions on the basis of any protected category.