Model Validation_Pricing Models

Do you want your voice heard and your actions to count? Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), one of the world’s leading financial groups. Across the globe, we’re 150,000 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. Position details The use of models presents model risk, which is the potential for adverse consequences from decisions based on incorrect or misused model outputs and reports. Model risk can lead to financial loss, poor business and strategic decision-making, or damage to a banking organization’s reputation. Model validation is the set of processes and activities intended to verify that models are performing as expected, in line with their design objectives and business uses. The candidate will report to the Head of Model and EUCC Risk in MGS India. The team is responsible for the enterprise-wide model validation and control function to ensure the continued safety and soundness of models used across the bank. Model Risk Management touches models across all lines of businesses and the candidate will have opportunities to work in validation across all areas of the bank. This is a hands-on individual contributor role focused on independent validation and effective challenge of market risk models. Roles and Responsibilities Independently validate counterparty credit risk and XVA models, including:Exposure models: PFE, EPE, EEPE, EAD; Monte Carlo simulation engines; netting and collateral (CSA) modeling, margin period of risk (MPoR), and initial margin under ISDA SIMM XVA models: CVA, DVA, FVA etc - including underlying pricing, calibration, and Greeks Regulatory capital models: SA-CCR, IMM components, default risk charge, and CVA capital (BA-CVA / SA-CVA under Basel III final reforms. Conduct end-to-end validation, including review of modeling methodologies, assumptions and limitations, risk factor evolution (HW, LMM, SLV, etc.), calibration approaches, proxy choices, implementation logic, and numerical robustness Design and execute independent testing and benchmarking, including sensitivity analysis, convergence and stability tests, stress testing, backtesting of exposure profiles, and benchmarking against alternative methodologies or market practices Review underlying pricing models across asset classes (Rates, Credit, FX, Equities, Commodities) that feed into XVA and exposure calculations