Vice President, XVA Quantitative Analyst Vice President, XVA Quantitative Analyst …

MUFG
in London, United Kingdom
Permanent, Full time
Last application, 22 Oct 20
Competitive
MUFG
in London, United Kingdom
Permanent, Full time
Last application, 22 Oct 20
Competitive
*

We are MUFG. 360 years of heritage. A world-class set of businesses. And more than 180,000 employees in 50 markets. It’s no surprise that MUFG has grown to become one of the top five banks in the world. Our services include commercial banking, trust banking, securities, credit cards, consumer finance, asset management, and leasing. MUFG offers stability in an ever-changing market, providing services to high-profile clients worldwide.

 

Our vision? To become the world’s most trusted financial group. You’ll help us achieve it. 

 

Overview of the Department:

MUFG (Mitsubishi UFJ Financial Group) is one of the world's leading financial groups. Headquartered in Tokyo and with approximately 350 years of history, MUFG is a global network with around 2,300 offices in over 50 countries including the Americas, Europe, the Middle East and Africa, Asia and Oceania, and East Asia. The group has over 150,000 employees, offering services including commercial banking, trust banking, securities, credit cards, consumer finance, asset management, and leasing.

 

As one of the top financial groups globally with a vision to be the world's most trusted, we want to attract, nurture and retain the most talented individuals in the market. The size and range of MUFG's global business creates opportunities for our employees to stretch themselves and reap the rewards, whilst our common values, to behave with integrity and responsibility, and to build a culture which is fair, transparent, and honest, underpin everything that we do.We aim to be the financial partner of choice for our clients, whatever their requirements, building long-term relationships, serving society, and fostering shared and sustainable growth for a better world.

 

Please visit our website for more information - mufgemea.com.

 

The Financial Engineering department (FE) supports the trading, sales and risk departments across all asset classes in London, New York, Hong Kong, and Singapore and there is active collaboration with equivalent departments in Tokyo.

 

FOS-QRD is a team charged with the development of models, pricing tools and system integration of all flow and exotic models used in the firm, on all asset classes. The team is based on the London trading floor. Their products support the trading and risk functions of several different desks via applications that are developed in-house to run on traders’ desktops, compute grids and external cloud compute fabrics.

 

Main purpose of the role:

The front office quant team is looking for a person to support BAU and build out the XVA engine.  Note that the XVA team runs production as well as developing the library.  The main roles of the successful candidate will be:

 

  • Design and develop new XVA features in the XVA engine, XVA pricing tools, and XVA optimization.
  • Support XVA BAU
  • Design and develop links to upstream and downstream systems including data preparation.
  • Communicate effectively with all stakeholders.
  • Lead ad hoc teams to deliver results.
  • Provide effective support for XVA BAU systems (batch and trader tools), interact with traders, interact
  • with IT

 

Key responsibilities:

In this role, the successful candidate will be responsible across MUFG’s banking arm and securities business under a dual-hat arrangement. Under this arrangement, the candidate will act and make decisions on behalf of both the bank and the securities business, subject to the same remit and level of authority, and irrespective of the entity which employs the candidate.

 

The successful candidate will:

 

  • Provide effective support for XVA BAU systems (batch and trader tools), interact with traders, interact with IT
  • Design and develop new XVA features in the XVA engine, XVA pricing tools, and XVA optimization.
  • Design and develop links to upstream and downstream systems including data preparation.
  • Ensure appropriate and effective documentation is maintained at all times.

 

Skills and experience:

  • Experienced in Windows development in a front office role using C++ or C#, i.e. including unit testing and source code control.
  • Significant XVA experience and understanding in a front office role
  • Significant rates experience and understanding in a front office role
  • Understand mathematical finance, particularly around rates and credit models.
  • Understand details of derivative contract terms, CSA terms, MA terms, SwapAgent, etc.
  • Familiar with recent capital regulations

 

Personal requirements:

  • High motivation.
  • Team player.
  • Good communication skills.
  • Ability to work under pressure.

 

MUFG is committed to embracing diversity and building an inclusive culture where all employees are valued, respected and their opinions count. We support the principles of equality, diversity and inclusion in recruitment and employment, and oppose all forms of discrimination on the grounds of age, sex, gender, sexual orientation, disability, pregnancy and maternity, race, gender reassignment, religion or belief and marriage or civil partnership. 

 

We make our recruitment decisions in a non-discriminatory manner in accordance with our commitment to identifying the right skills for the right role and our obligations under the law.

We are open to considering flexible working requests in line with organisational requirements.

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