Quant jobs / MUFG

Model Development – Counterparty Credit Risk

A model development role in MUFG's risk analytics group, covering potential future exposure, initial margin and xVA models. You build and improve the models used for counterparty limits.

What you’d work on

Our reading of the posting: what a new hire in this role would most likely spend their first months on.

Develop and enhance PFE and exposure models
Run model testing and investigate weaknesses
Specify and test system changes for improvements
Support the SIMM initial margin and front-office xVA models
Report model performance to governance forums

What they ask for

Required

4+ years in quant analytics, model or risk roles
Derivatives and market products
Pricing principles
Probability and stochastic calculus
Python, R, Excel, VBA
Master's or higher in a quantitative field

Preferred

Exposure measures such as EE, PFE and CVA
Monte Carlo exposure modelling
C# or C++
FRM, CQF or CFA

Education: Master's or higher in maths, statistics, engineering, computer science, physics or quantitative finance.
Experience: 4+ years in quant or risk model roles
Languages and tools: Python
R
Excel
VBA
C#
C++
Markets: fixed-income, fx, credit, equities

How to prepare

Build a Monte Carlo PFE engine for a swap portfolio
Understand SIMM and initial margin at a conceptual level
Learn CVA and exposure profiles (EE, PFE)
Practise documenting model assumptions and limitations

What to study

The Risk Quant roadmap sets out the stages for this kind of role, with free resources for each.

Open the roadmap

Apply

Read the full posting on MUFG’s site before applying: requirements, location and pay can change after we check them.

View the posting on MUFG’s site ↗

SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with MUFG and doesn’t handle applications.