Quant jobs / MUFG

Model Development – Market Risk

A model development role in MUFG's risk analytics group, working on the VaR and capital models used for regulatory and internal market risk. It is part of a team moving towards the FRTB framework.

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.

Maintain and improve VaR, stressed VaR and related capital models
Design and run tests of model assumptions and implementation
Specify and test system changes for model upgrades
Prepare model performance reports for working groups
Support market risk questions and ad-hoc projects

What they ask for

Required

4+ years in quant analytics, market risk or model work
Derivatives and markets understanding
Derivatives pricing principles
Data analysis
Python, R, Excel and VBA
Master's or higher in a quantitative field

Preferred

VaR, IRC, RNIV and stress testing knowledge
Time-series techniques
Stochastic calculus
C# or C++
FRM, CQF or CFA

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

How to prepare

Build historical-simulation VaR and expected shortfall in Python and backtest it
Read an overview of FRTB and how it changes capital
Learn how stress scenarios are constructed
Practise time-series modelling of risk factors

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.