XVA Quantitative Analyst - Associate/Vice President

Mitsubishi UFJ Securities International (MUSI) is the European hub of MUFG’s securities business. Headquartered in London we have just over 600 employees and are active throughout the international capital markets, focusing on debt, equity, derivatives and structured products. It is this vision and our corporate values that reflect who we are and guide how we behave. We therefore strive to recruit individuals who share our vision and values, and who have the motivation and commitment to help us move our business forward.

Overview of the Department/Section:
Mitsubishi UFJ Financial Group (MUFG) is one of the world’s leading financial groups. Headquartered in Tokyo and with approximately 350 years of history, MUFG has a global network with 1,100 offices in over 40 countries. The Group has over 140,000 employees, offering services including corporate banking, commercial banking, retail banking, wealth management, investment banking, capital markets, personal and corporate trust, and transaction banking. The Group’s operating companies include Bank of Tokyo-Mitsubishi UFJ, Mitsubishi UFJ Trust and Banking Corporation (Japan’s leading trust bank), and Mitsubishi UFJ Securities Holdings Co., Ltd., one of Japan’s largest securities firms. MUFG conducts securities business internationally through its overseas subsidiaries Mitsubishi UFJ Securities International plc, Mitsubishi UFJ Securities (USA) Inc., Mitsubishi UFJ Securities (Hong Kong), Ltd. and Mitsubishi UFJ Securities (Singapore), Ltd. With each member of the group working in partnership with one another, MUFG provides best in class service and products to corporate and institutional clients.

Mitsubishi UFJ Securities International (MUSI) is the European hub of MUFG’s securities business. Headquartered in London we have just over 600 employees and are active throughout the international capital markets, focusing on debt, equity, derivatives and structured products. Due to the diverse nature of our business we require a clear unifying vision for all of our people. It is this vision and our corporate values that reflect who we are and guide how we behave. We therefore strive to recruit individuals who share our vision and values, and who have the motivation and commitment to help us move our business forward.

The Front Office Solutions department (FOS) supports the trading, sales and risk departments across all asset classes in London, New York, Hong Kong, and Singapore.

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 tradefloor. 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:
• Engineering the improvement, extension and testing for models and pricing engines including XVA models.
• Trading desk and risk management desk support for pricing model and products.
 

Key responsibilities:
• Contribute to architecture design and development of the XVA system.
• Model analysis and improvement (calibration, risk stability, market data …).
• Quantitative support to Trading, Model Validation and related functions.

Skills and experience:
• Required

  • Advanced development skills (C++ or C#).
  • Experience in a similar front office quant or IT quant role.

• Advantageous

  • Experience in leading large-scale/cloud computing system architecture design.
  • Experience in derivative pricing models.
  • Knowledge in XVA concept.
  • Experience in VBA / Excel pricing sheets.

Personal requirements:
• High motivation and ability to work under pressure.
• Team player and ability to work independently.
• Good communication skills and ability to support disparate clients.