Quants - Quantitative Analyst, Vice President

<p><b>Do you want your voice heard and your actions to count? </b></p><p></p><p>Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), one of the world’s leading financial groups. Across the globe, we’re 120,000 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.</p><p></p><p>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.</p><p></p><p>Join MUFG, where being inspired is expected and making a meaningful impact is rewarded.</p><p></p><p><b>OVERVIEW OF THE COMPANY</b></p><p>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.</p><p>Our vision? To become the world’s most trusted financial group. You’ll help us achieve it.</p><p></p><p>The Markets Engineering EMEA (MEE) department supports the trading, sales and risk departments across all asset classes in London, New York, Amsterdam, Paris and Hong Kong.</p><p>MEE is a team charged with the development of models, pricing tools and system integration used in the firm. Their products support the trading and risk functions using internally developed applications run on traders’ desktops, and various pricing and risk systems in the bank.</p><p></p><p></p><p><b>MAIN PURPOSE OF THE ROLE</b></p><p>As part of the Rates modelling team, you will be providing quantitative support to the Front Office Businesses for both the Flow and Structured Rates desks, as well as other related functions within the firm such as Risk, Product Control, Market Risk Management, Model Validation.</p><p></p><p></p><p><b>KEY RESPONSIBILITIES</b></p><ul><li>Maintaining and extending the Quant library: adding new features, model and payoff extensions, refactoring the code to make it more generic and more robust</li><li>Supporting the Exotic Rates modelling valuation code and tools: Stochastic modelling &amp; Monte-Carlo, Excel pricing tools</li><li>Supporting the Flow Rates library (curve construction &amp; bootstrapping)</li></ul><p></p><p><b>Work Experience</b></p><ul><li>Experience (4y+) as a modelling quant (any asset class)</li></ul><p></p><p><b>Skills and Experience - Functional/Technical Competencies</b></p><p><u>Essential</u></p><ul><li>Development coding skills in both C++ or C#</li><li>Experience in implementing / improving production pricing models</li><li>Experience in model performance testing</li><li>Experience in interacting with key stakeholders in FO, MO &amp; Risk functions</li><li>Expertise in Excel used for pricing tools (used in the context of live pricing)</li><li>Deep understanding of sensitivities and P&amp;L attribution (any asset class)</li></ul><p><u>Beneficial</u></p><ul><li>Deep understanding of sensitivities and P&amp;L attribution for Rates products</li><li>Experience in curve bootstrapping (systems solving, AAD) in the context of a high-speed coding library</li><li>Expertise in rates products valuation (swaps, bonds, futures, future options, cap/floors, swaptions)</li><li>Expertise in exotic rates products valuation (e.g. Bermudan, Range Accrual, TARN)</li><li>Very good knowledge of financial products (other than interest rates)</li><li>Experience in code refactoring, library migration</li><li>Experience in driving and managing quantitative projects</li></ul><p></p><p></p><p><b>PERSONAL REQUIREMENTS</b></p><ul><li>Excellent communication skills</li><li>Results driven, with a strong sense of accountability</li><li>Strong decision making skills, the ability to demonstrate sound judgement</li><li>A structured and logical approach to work</li><li>High capacity to work autonomously</li><li>Strong problem solving skills</li><li>The ability to manage workloads and tight deadlines</li><li>Excellent attention to detail and accuracy</li><li>Strong numerical skills</li></ul><p></p><p></p><p></p><p></p><p><span>We are open to considering flexible working requests in line with organisational requirements.</span></p><p></p><p><span>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, dis