Quant jobs / MUFG

Model Validation – Market Risk

A hands-on validation role in MUFG's India model risk team, challenging market risk models such as VaR, expected shortfall and FRTB components. It reports into global model risk.

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.

Validate VaR, stressed VaR, ES and IRC models
Check risk factor mapping, proxies and calibration
Design backtesting and benchmarking tests, including P&L attribution
Assess compliance with model risk and Basel market risk standards
Write validation reports and track issues

What they ask for

Required

1 to 6 years in model validation, development or market risk
VaR/ES methods
Time-series analysis and backtesting
Derivative pricing and sensitivities
Probability, statistics and stochastic calculus
Programming in Python, C++ or R

Preferred

FRTB or Basel 2.5 exposure

Education: Master's or PhD preferred in quantitative finance, maths, statistics, physics or engineering.
Experience: 1–6 years in market risk validation or related quant work
Languages and tools: Python
C++
R
Markets: multi-asset, fixed-income, credit, fx, equities, commodities

How to prepare

Implement VaR and ES three ways (historical, parametric, Monte Carlo) and compare
Backtest VaR with exception tests
Learn FRTB P&L attribution and risk factor eligibility concepts
Practise writing a short validation finding with evidence

What to study

The Model Validation 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.