Python Developer (Credit Risk Analytics)

Company: MUFG Union Bank
Location: Toronto, Ohio, United States
Type: Full-time
Posted: 26.JUL.2021

Summary

Your potential. Your opportunity.Join a financial group that's as committed to your future as you are. At MUFG, we share a vision for our fu...

Description

Your potential. Your opportunity.Join a financial group that's as committed to your future as you are. At MUFG, we share a vision for our future, we share our successes, and we strive to bring out the best in each other in everything we do. As the 5th largest bank in the world, our diverse team is connected by a common ambition to create change for the better-from forging more dynamic career paths to driving progress in our communities, to continuously reshaping the standards of global financial services. Positive impact starts here; see the change you can make as we strive to become the world's most trusted financial group.Mitsubishi UFJ Financial Group, Inc. (MUFG) is one of the world's leading financial groups. Headquartered in Tokyo and with over 360 years of history, MUFG has a global network with over 2,700 locations in more than 50 markets. The Group has over 180,000 employees and offers services including commercial banking, trust banking, securities, credit cards, consumer finance, asset management, and leasing. MUFG aims to "be the world's most trusted financial group" through close collaboration among our operating companies and flexibly responding to all of the financial needs of our customers, serving society, and fostering shared and sustainable growth for a better world. MUFG's shares trade on the Tokyo, Nagoya, and New York stock exchanges. For more information, visit is the opportunity? You will have the opportunity to automate our processes/tools and expand your knowledge and skills in the credit risk space. Reporting to the Chief Risk Officer (CRO) of MUFG Bank Ltd., Canada Branch, the Credit Risk Software Engineer will be responsible for supporting and managing MUFG's credit risk analytics tasks in Canada, the Americas and potentially globally. Such analytics include credit loss forecasting for stress testing purposes, to support new accounting rules such as IFRS 9, and complex simulations of Economic Capital (i.e. catastrophic losses that occur in crises scenarios). What will you do? Accountabilities related to Credit Loss Forecasting Models Using your programming skills, you will perform periodic credit loss forecasting for stress testing purposes, aimed at estimating losses that would be sustained by MUFG in Canada and the Americas under adverse macroeconomic scenarios Implementing and updating proprietary credit risk models that forecast PD/LGD/EAD (Probability of Default / Loss Given Default / Exposure at Default) for multiple lending products. Consolidating, reconciling, and standardizing loan data extracted from MUFG's numerous data systems. Supporting the implementation of production processes related to new accounting rules such as IFRS 9 and CECL, which involve the above credit loss forecast models as well as other complex calculations. Run, maintain, and update the monthly production processes for generating Allowance for Credit Losses (ACL) results at the loan-level, under the CECL accounting rules. Forecast ACL for the annual CCAR and JFSA stress testing cycles, and for the quarterly budget cycles. Maintain and update the CECL Dashboard web application for calculating ACL in real-time. Accountabilities related to Economic Capital Performing Monte Carlo simulations of Economic Capital (catastrophic losses that occur in crisis scenarios) using vendor models such as Moody's Risk Frontier Supporting the global standardization of such Economic Capital calculations in MUFG e Global EC project. Run, maintain and update the monthly production processes for generating loan-level Economic Capital results Automate Economic Capital production process. What do you need to succeed? Must have: Experience in programming (C++ / Java / SQL / Python / R) Experience with test-driven development and automated testing framework a plus. Ability to document business requirements and specifications for software development. Risk applications/services: (e.g. Moody's Analytics) Ability to work with large datasets, works well independently as well as part of a team Excellent knowledge in relational database design and SQL/PL-SQL. Proficiency in software versioning tools such as Git/Bitbucket. Notice: The above information on this job description has been described to indicate the general nature and level of work performed by incumbents. Other duties and responsibilities not specifically described may be assigned from time to time, consistent with knowledge, skills and abilities of the incumbent. CompanyChartered in 1981 and assuming its current identity as MUFG Canada Branch, our Canadian Branch is the premier Asia-based global bank in its market. We serve local and Japanese clients from the Atlantic to the Pacific with financial expertise across a number of key industries such as oil and gas, pipelines, power generation, automotive, transportation, and telecom. The receipt of this application by MUFG Bank, Ltd., Canada Branch ("MUFG Canada Branch"), does not imply or guarantee employment. MUFG Canada Branch is an equal opportunity employer. We do not discriminate in hiring or in any other aspect of employment on the basis of the grounds enumerated in the Canadian human rights act. In addition, MUFG Canada Branch complies with applicable laws prohibiting discrimination in employment in every jurisdiction in which it maintains facilities. MUFG Canada Branch provides accommodation to individuals in accordance with the requirements outlined in the Canadian human rights act and the Canada Labour Code.©2020 Mitsubishi UFJ Financial Group, Inc. All rights reserved. The MUFG logo and name is a service mark of Mitsubishi UFJ Financial Group, Inc., and is used by MUFG Bank, Ltd., Canada Branch, with permission. Other detailsJob FunctionRiskPay TypeSalary

 
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