Associate, Systematic Credit Research Quant

About the role

The selected colleague will work at an MUFG office or client sites four days per week and work remotely one day. A member of our recruitment team will provide more details.

Responsibilities

• Build and maintain the various simulation-based models used by Middle Office Credit Risk Management, Market Risk Management and Enterprise Risk Management
• Responsible for the application layer that integrates with a number of specialist pricing and simulation engines, which includes a third party vendor system called Financial Risk Analytics (FRA)
• Collaborate on back-end server-side development for the running of large simulation batches which generate calculated risk
• Conduct projects that deliver new capabilities to the business, the library, and grids including: gathering functional and non-functional requirements from stakeholders; providing effort and duration estimation and sign-off from stakeholders; moving projects to and through the production process
• Fix overnight batch issues as they arise
• Support development of extensions to the pricing tools and code library
• Build new library capabilities
• Build and maintain front office tools
• Ensure MiFID II regulatory compliance
• Ensure inter-system connectivity and STP with external vendors such as Bloomberg API, MarkitWire API
• Maintain inter-system message formats
• Collaborate with the Quant team building Execution, Risk Management and Pricing Algos
• Conduct component testing using Junit
• Perform integration testing with the Automated Test team
• 3rd line Production Support

Qualifications

Master of Science Degree preferred in computer science, physics, mathematics, or engineering.

Work experience

• Experience in Java development building execution, risk management and pricing Algos
• Experience within a technology organization in the banking, financial services, or financial technology industries

Functional skills

• Advanced knowledge of XVA systems (e.g., CVA and FVA) including:
  • Theory: mathematical finance, core concepts and edge cases
  • Library: coding C#, M#, design, architecture, speedups and cost saving potential
  • 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
• Experience with grids: internal and cloud, e.g. AWS, Azure
• Experience with tools and how they go wrong
• Price/explain experience
• Model development to production
• Fluency in commonly used exchange protocols
• Working knowledge of FO pricing tools and related regulation
• Knowledge of pricing theory and financial engineering
• Knowledge of flow rates mechanics and product valuation (swaps / bonds / futures / cross currency swaps)
• Understanding of trade sensitivities and P&L attribution (interest rates products)
• Understanding of how to validate results from large data sets for completeness and correctness
• Understanding of Excel as used for pricing tools
• Proficient in one or more of the following: coding in C++, .NET, Python, Java, SQL, R, MATLAB; database management systems; statistical analysis software (e.g., MATLAB, SAS, R, S-Plus); advanced spreadsheet skills; data structures; algorithms; distributed computing; Linux OS; Microsoft SQL Server running on Windows
• Some practical experience delivering large server side applications with pre and post processing of high volumes of complex data (e.g. trade pricing data, market data, simulated distributions, hierarchical aggregation)
• Some practical experience developing applications for financial instruments, derivative pricing, algorithmic high-frequency trading purposes, or similar
• Some practical experience with pricing or simulation-based risk systems, risk engines
• Passion for numbers and financial models trading, probability and financial models
• Knowledge of banking regulations

Preferred experience

• Docker, Python, Hadoop and Azure
• Java Server side development – Low latency techniques
• Developer level testing using Junit
• Linux OS
• .NET core
• 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
• Market data knowledge (Bloomberg / Refinitiv etc.)
• Front Office pricing tools
• Proprietary trading or exchange environments
• Various financial products related to the interest rate asset class (e.g. cap / swaption / repo / exchange trade options / funding etc.)
• Hands on support of trading / sales functions
• Derivative and cash based products

Foundational skills

• Communicates effectively
• Identifies multiple paths to success using analytical and critical thinking as well as decision-making skills
• Exercises sound judgement, prioritizes effectively, and strives for continuous improvement
• Effectively collaborates with colleagues
• Leverages available technology to drive efficiency and results
• Understands and applies industry trends and best practices
• Exhibits optimism, resilience, flexibility, and openness to others' ideas
• Values learning as a lifelong professional objective
• Engages inclusively and with intent
• Always acts with integrity
• Results-driven, with a strong sense of accountability
• Proactive and motivated, with a strong sense of urgency
• Strong problem-solving skills
• Structured and logical
• Creative and innovative
• Excellent attention to detail and accuracy

Pay

The typical base pay range for this role is between $140K - $171K depending on job-related knowledge, skills, experience and location. This role may also be eligible for certain discretionary performance-based bonus and/or incentive compensation.

Benefits

Our Total Rewards program provides colleagues with a competitive benefits package (in accordance with the eligibility requirements and respective terms of each) that includes comprehensive health and wellness benefits, retirement plans, educational assistance and training programs, income replacement for qualified employees with disabilities, paid maternity and parental bonding leave, and paid vacation, sick days, and holidays.