FAQs
What is the main purpose of the Quantitative Analyst role at EME?
The main purpose of the role is to contribute to the development of multifunctional in-house quantitative solutions with a focus on pricing, risk, model calibration, and market data processing.
What type of products does the EME team support?
The EME team supports trading and risk functions using internally developed applications that run on traders' desktops and various pricing and risk systems within the bank.
What are the initial responsibilities of the Quantitative Analyst?
Initial responsibilities include analyzing desk sensitivities and PnL attribution, improving the internal market data model, enhancing tools used by traders, removing unused features from internal libraries, and contributing to the documentation and validation of models.
What essential skills are required for this position?
Essential skills include a general understanding of interest rate (IR) derivatives and strong quantitative development skills in C# or C++.
How much work experience is required for applicants?
Applicants should have at least 2 years of experience in front office or model validation roles.
What are the beneficial competencies for this role?
Beneficial competencies include knowledge of interest rate curve bootstrapping, clear understanding of risk profiles of currency swaps and vanilla options, and experience in valuation changes using Monte Carlo, PDE, tree methods, or numerical integration.
Will the role involve working with both the banking arm and the securities business?
Yes, the role will involve working across MUFG’s banking arm and securities business under a dual-hat arrangement, enabling decision-making on behalf of both entities within the same remit and level of authority.
What contributions are expected regarding the pricing library and quality assurance tools?
The Quantitative Analyst will assist in extending the pricing library and quality assurance tools to ensure compliance with Model Risk Management regulatory frameworks.
Is experience with model changes that impact desk PnL relevant to the position?
Yes, relevant experience includes contributing to production code for valuation or risk that has affected desk PnL or approving model changes in production that impact desk PnL.
What kind of understanding is expected regarding risk profiles?
A clear understanding of the risk profiles of cross-currency swaps and vanilla options is expected as part of the beneficial competencies for this role.