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Position details
Risk Analytics Group (RAG) is a specialized area within the Risk Department, responsible for Market Risk Models, Capital Models, Counterparty Exposure Models, Portfolio and Credit Models, and Initial Margin models.



The team members have robust quantitative skills and the team head reports to the regional and global Chief Risk Officer.
The successful candidate will be a member of the Counterparty Exposure Metrics sub-team of RAG. The team is responsible for the development and maintenance of the Potential Future Exposure (PFE) models that are used to measure Counterparty Exposure. These models are used for internal control limits and partly in economic capital calculations. The PFE is models cover Rates, FX, Credit, inflation, Equity and Bond Spreads, across derivatives, Repo and Securities lending transactions.

Additionally, the team also has responsibility for the SIMM model used for Initial Margin, simulation models used to measure risk on structured financing trades and front office xVA models.

The candidate will work closely with other team members in RAG, credit risk management, the IT development teams, risk model validators and

📌 Model Development_CounterParty Credit Risk (Bengaluru)
🏢 Mitsubishi UFJ Financial Group
📍 Bengaluru