Vice President, Global Portfolio Analytics

Do you want your voice heard and your actions to count?

Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), the 7th largest financial group in the world. Across the globe, we’re 120,000 colleagues, striving to make a difference for every client, organization, and community we serve. We stand for our values, building long-term relationships, serving society, and fostering shared and sustainable growth for a better world.

With a vision to be the world’s most trusted financial group, it’s part of our culture to put people first, listen to new and diverse ideas and collaborate toward greater innovation, speed and agility. This means investing in talent, technologies, and tools that empower you to own your career.

Join MUFG, where being inspired is expected and making a meaningful impact is rewarded.

Job Summary

In this role the employee will develop and manage global and regional credit portfolio risk analytics for the global MUFG credit portfolio. Specific responsibilities include: Designing and developing credit models and end-user analytic tools; Advancing best practice credit portfolio risk management (e.g. Economic Capital Modeling, Stress Test Modeling, Credit Risk Appetite & Concentration Limits, Early Warning Indicator Modeling/Reporting).

Key Accountabilities

Credit Economic Capital Modeling:

• Support MUFG Global and Regional Economic Capital production process.
• Run, maintain, and update the monthly production processes for generating loan-level Economic Capital results.
• Perform Monte Carlo simulations of Economic Capital (catastrophic losses that occur in crisis scenarios) using vendor models such as Moody's RiskFrontier.
• Assist standardization of Economic Capital modeling across ALL MUFG regions.
• Align EC modeling parameters (e.g. quantification of systematic risks in individual credit position, PD/LGD correlation, etc.)
• Develop/enhance MUFG's Economic Capital production process.
• Conduct peer code reviews, promote best coding practice, explore cutting-edge technologies and tools for production process automation.
• Work with stakeholders and partners across MUFG’s global organization (often with conflicting interests).
• Develop and promote tools and technology to facilitate stakeholder communications.

Credit Risk Framework:

• Manage credit risk appetite and concentrations management limit frameworks. Link credit risk appetite and concentration limits to MUFG business strategy (capital/earnings).
• Support MUFG credit portfolio quality vs. current and future economic/market trends. Participate in policy review and updates – in coordination with key regional and global stakeholders.

Credit Loss Forecasting Models:

• Forecast stress credit losses according to preformatted macroeconomic scenarios
• Implement and update proprietary credit risk models (e.g. Probability of Default / Loss Given Default / Exposure at Default) for all loan exposures and loan types.
• Assess and standardize loan data extraction from numerous regional and global systems – supporting credit portfolio modeling.

Technical Skills

• Excellent data analytics skills gained through hands-on experience, including familiarity with large data sets and the tools for data analysis (e.g. R, python, Pandas)
• Experience using Git/Bitbucket (version control applications) to manage production-level code.
• Understanding or ability to quickly learn – credit management platform (software) i.e. credit loss forecast models, stress lost forecasting, Monte Carlo loss simulation, etc.
• Excellent communication skills, oral and written, also interpersonal skills.
• Experience with statistical tools and techniques (regression models, multivariate analysis, machine learning / deep learning) within financial services
• Model development capabilities.

Experience & Abilities

• 5+ years work experience with credit analytics (or equivalent) function preferred.
• 2+ years work experience in/or supporting Front Office function (e.g. credit, markets, etc.) within a major commercial or investment bank, insurance company, or similar international financial business.
• Understanding of / or direct Experience with cloud computing (i.e. AWS).
• Active participation in leading/advocating projects. Strong teamwork abilities.
• Excellent critical thinking, problem-solving abilities.
• Highly motivated, strong attention to detail, organized.

Education & Training

• Minimum Bachelor’s degree (Masters/PhD welcome) with emphasis on quantitative methods and tools (i.e. Computer Science, Engineering, Finance, other disciplines).

Working Conditions

• WFH Split

The job description and related application pertains to an opportunity with either MUFG Bank, Ltd., Canada Branch (“MUFG Bank Canada”) or MUFG Securities (Canada), Ltd. (“MUFG Securities Canada”). The job description relates to the general nature, scope, quantity and quality of work contemplated for the position. Other duties and responsibilities not specifically described may be assigned from time to time, consistent with knowledge, skills and abilities of the incumbent. The receipt of an application by either MUFG Bank Canada or MUFG Securities Canada, as applicable, does not imply or guarantee employment.

Each of MUFG Bank Canada and MUFG Securities Canada is an equal opportunity employer.

• As a federally regulated entity, MUFG Bank Canada is required to comply with applicable laws which prohibit discrimination based on protected grounds and which require accommodation to individuals in accordance with the requirements outlined in the Canadian Human Rights Act and the Canada Labour Code. Where MUFG Bank Canada obtains information relating to protected grounds under the Canadian Human Rights Act as part of the application process, it does so to monitor and otherwise evaluate its own compliance with such legislation and associated regulatory requirements; MUFG Bank Canada does not use such information for decision making purposes relating to the position contemplated in this application.

• As a provincially regulated entity, MUFG Securities Canada is required to comply with applicable laws which prohibit discrimination based on protected grounds and which require accommodation to individuals in accordance with the requirements outlined in the Human Rights Code (Ontario) and the Employment Standards Act (Ontario). Where MUFG Securities Canada obtains information relating to protected grounds under the Human Rights Code (Ontario) as part of the application process, it does so to monitor and otherwise evaluate its own compliance with such legislation and associated regulatory requirements; MUFG Securities Canada does not use such information for decision making purposes relating to the position contemplated in this application.