Quant jobs / MUFG

Model Validation – Pricing Models (Counterparty Credit Risk and XVA)

A hands-on validation role in MUFG's India model risk team covering counterparty credit risk and XVA models. You independently test exposure, XVA and regulatory capital models.

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 exposure models: PFE, EPE and Monte Carlo engines with netting and collateral
Review XVA pricing, calibration and Greeks
Check regulatory capital calculations such as SA-CCR and CVA capital
Design benchmarking, convergence and backtesting tests
Write reports for committees, auditors and regulators

What they ask for

Required

6 to 11 years in CCR/XVA validation, development or desk quant work
Monte Carlo exposure simulation
Netting, collateral and CSA mechanics
Derivative pricing and stochastic models (Hull-White, LMM, local/stochastic vol)
Stochastic calculus
Programming in Python, C++ or R

Preferred

SA-CCR, IMM, SIMM and Basel CVA capital exposure
Model risk guidance such as SR 11-7

Education: Master's or PhD preferred in quantitative finance, maths, statistics, physics or engineering.
Experience: 6–11 years in CCR/XVA validation or quant roles
Languages and tools: Python
C++
R
Markets: multi-asset, fixed-income, credit, fx, equities, commodities

How to prepare

Implement Hull-White Monte Carlo exposure simulation and test its convergence
Learn how netting sets and CSAs change exposure
Read about SA-CCR and Basel CVA capital frameworks
Practise backtesting exposure profiles against realised values

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.