Vice President, Model Validation

About the role

MUFG is seeking a Model Validation Vice President to join its EMEA Model Risk Management team in London. The role contributes to independent validation of quantitative models across all asset classes, with a particular focus on PFE and XVA models, working alongside risk analytics professionals and front office quants.

Key responsibilities

• Design, model and prototype challenger models to challenge existing methodologies
• Review model frameworks, assumptions, input data and results, and test numerical implementations
• Evaluate processes against governance standards and policies
• Document findings in validation reports with recommendations for improvement
• Track remediation actions and prepare model risk reports for Model Oversight Committees and the Board
• Collaborate with Risk Analytics teams and Front Office quants and stay up to date with developments in financial mathematics and risk modelling

Required profile

• Proven experience in quantitative modelling (development or validation) in counterparty credit risk or derivatives pricing
• Experience developing or validating XVA models in a financial institution or similar environment
• Postgraduate degree in a quantitative discipline such as statistics, mathematics, mathematical finance or econometrics
• Strong background in mathematics and probability theory applied to finance
• Excellent written and oral communication skills, with attention to detail and a structured approach

Required skills

• Proficiency in Python or R (or equivalent) for implementing complex models
• Solid understanding of simulation techniques and numerical methods
• Good knowledge of data science principles and statistical inference