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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 strong quantitative skills and the team head reports to the regional and global Chief Risk Officer.
The successful candidate will be a member of the VaR and capital metrics sub-team of RAG. The team is responsible for the Market Risk models that support VAR/RNIV/IRC and related capital metrics. These models are used for internal control as well as regulatory capital via the IMA (Internal model-based approach). The VAR model covers Rates, FX, Credit, inflation, and Equity.

In addition, the team supports development of other market risk measures, including market risk stress models, Economic capital models and Interest Rate Risk in the Banking Book. Future developments for capital models will require development as the transition to FRTB takes place.

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

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