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Evaluating risk/return using Stress Loss Modeling (Simulation Scenarios, Economic Capital and Single Scenarios), and Regulatory Capital as linked to Risk Appetite Statement, limits and thresholds. Managing credit risk appetite and credit concentration management frameworks in coordination with Lines of Business and Credit Administration. This includes regular monitoring of MUFG’s limit compliance status, performing annual refresh of risk appetite and concentration limits and, when limits are breached, developing limit overage remediation plans. Performing credit portfolio modeling including Economic Credit capital modeling, credit portfolio stress testing and Early Warning Indicator modeling. Developing relational databases to support the team’s credit portfolio management and credit portfolio modeling responsibilities including design and implement databases and data processing procedures for large datasets (minimum 1 million rows of data records) with R and Python programming languages. Quantifying credit risk for structured credit investments products including CDO, CLO, RMBS, and CMBS. Developing return on risk analyses for capital allocation discussions with Economic Capital (EC), Regulatory Capital and other stress risk metrics/tools. Producing Economic Capital policy (Simulation-based Stress Loss). Integrating risk management with Capital Management. Developing, maintaining, and coordinating Early Warning Model (Americas-focused) with MUFG Head Office Credit Policy & Planning Division. Education: Master’s degree in Financial Engineering, Statistics or a related quantitative field (or foreign equivalent degree). Experience: 3 years of credit portfolio management experience in the banking or financial services industry including credit risk appetite framework development and management; credit concentration risk management; credit portfolio modeling including economic credit capital modeling, credit portfolio stress testing and Early Warning Indicator modeling; relational databases design and implementation for large datasets (minimum 1 million rows of data records) with R and Python programming languages; and quantifying credit risk for structured credit investments products including CDO, CLO, RMBS, and CMBS. Alternate: In the alternative, the Employer will accept a Bachelor’s degree in Financial Engineering, Statistics or a related quantitative field (or foreign equivalent degree) plus 5 years of credit portfolio management experience in the banking or financial services industry including credit risk appetite framework development and management; credit concentration risk management; credit portfolio modeling including economic credit capital modeling, credit portfolio stress testing and Early Warning Indicator modeling; relational databases design and implementation for large datasets (minimum 1 million rows of data records) with R and Python programming languages; and quantifying credit risk for structured credit investments products including CDO, CLO, RMBS, and CMBS.Other: Position requires employment in-office 4 days per week and remotely 1 day per week.Wage: $125,000 to $170,000 U.S. dollars per yearEmployer: MUFG Bank, Ltd. Location: 1251 Avenue of the Americas, New York, NY 10020To apply go to https://careers.mufgamericas.com. Job # 10064513-WD
Minimum Salary: 125,000 Maximum Salary: 170,000 Salary Unit: Yearly