Model Validation Manager

Job Description

Model Validation – Lead – Pricing/Counterparty Credit Risk | Mitsubishi UFJ Financial Group

The Tone:
This is a full-time role at Mitsubishi UFJ Financial Group (MUFG), located in Mumbai, Maharashtra, India. MUFG is one of the world’s leading financial groups, striving to make a difference for every client, organization, and community. This critical role ensures the safety and soundness of models used across the bank by addressing model risk, which can lead to financial loss or reputational damage. Your work will directly verify that models perform as expected, aligning with design objectives and business uses, contributing to MUFG’s vision of being the world’s most trusted financial group.

The TL;DR
• Role: Full Time
• Type: Full-time
• Location: In-person, Mumbai, Maharashtra, India

• Team: Reports to the Head of Model and EUCC Risk in MGS India, leading a team of 3-5 model quants.
• Mission: To ensure the continued safety and soundness of models used across the bank by performing enterprise-wide model validation and control.
• Tech Stack: Python, C++, MATLAB, R

What You’ll Actually Do
• Validate: Independently validate pricing models (Interest Rates, Credit, Equities, FX) and/or counterparty credit risk models (e.g., XVA, PFE/EPE, CVA, IMM components) used for trading, risk management, and capital purposes.
• Conduct: Conduct end-to-end model validation, including review of modeling methodologies, assumptions and limitations, calibration approaches, implementation logic, and numerical robustness.
• Design: Design and execute independent testing and benchmarking, including sensitivity analysis, stress testing, back-testing, and comparison to alternative models or market practices.
• Manage: Manage and develop a team of 3-5 model validators, ensuring the quality, consistency, and timely delivery of validation outputs.
• Report: Prepare clear and concise validation reports for senior management, model risk committees, auditors, and regulators; support regulatory examinations as required.

The Must-Haves
• Background: Advanced degree (Master’s or PhD preferred) in Quantitative Finance, Mathematics, Statistics, Physics, Engineering, or a related discipline, with expertise in model validation and model risk management.
• Experience: 6–10 years of experience in model validation, model development, or front-office quantitative roles within a bank or financial institution, with experience leading validation workstreams and/or mentoring junior team members.
• Skills: Strong expertise in derivative pricing models and/or counterparty credit risk models; solid grounding in quantitative finance and advanced mathematics, including stochastic calculus; familiarity with model risk management frameworks and regulatory requirements such as FRB SR 11‑7, OCC 2011‑12, and Basel standards; proficiency in at least one programming language (e.g., Python, C++, MATLAB, R).
• Bonus: Experience interacting with senior stakeholders and regulators.