Quantitative Analyst

Do you want your voice heard and your actions to count?

Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), the 6th largest financial group in the world. Across the globe, we’re 160,000 colleagues, striving to make a difference for every client, organization, and community we serve. We stand for our values, building long-term relationships, serving society, and fostering shared and sustainable growth for a better world.

With a vision to be the world’s most trusted financial group, it’s part of our culture to put people first, listen to new and diverse ideas and collaborate toward greater innovation, speed and agility. This means investing in talent, technologies, and tools that empower you to own your career.

Join MUFG, where being inspired is expected and making a meaningful impact is rewarded.

OVERVIEW OF THE DEPARTMENT/SECTION

The Financial Engineering (FE) team supports the trading, sales and risk departments across all asset classes in London, New York, Hong Kong, and Singapore. FE is charged with the development of models, pricing tools and system integration of all exotic models used in the firm, on all asset classes. Their models and tools support the trading and risk functions of several different desks via in-house developed applications run on traders’ desktops, compute grids and external cloud compute fabrics.

MAIN PURPOSE OF THE ROLE

To engineer the improvement, extension and testing of the models and pricing & risks engines, with a particular focus on Equity and FX asset classes.

KEY RESPONSIBILITIES

Providing quantitative support to all the users of the library.

Engineer new models and improve the existing ones

Develop new products and payoffs

Improve the client tools in particular be involved in next generation of tools

SKILLS AND EXPERIENCE

>5y experience in a similar quant role.

Experience around quantitative challenges raised by Benchmark reform, e.g. RFR cap/floor pricing or CMS fallback.

Advanced development skills (C++ or C#) from implementation and support of official models used for books and records.

Experience in developing at least one product or model from scratch for production use.

Experience in calibration of Stochastic Local Volatility, or advanced structured IR model desirable

PERSONAL REQUIREMENTS

PERFORMANCE AND DUTIES

The role holder will be assessed in accordance with their employing entity’s performance framework and process with relevant input obtained from the dual hatting entity as relevant.

As duties and responsibilities change, the job description will be reviewed and emended in consultation with the role holder. The role holder will carry out other duties as are within the scope, spirit and purpose of the role as requested by their line manager or Department Head.

MANAGING CONFLICTS OF INTEREST

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

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.