Skip to main contentA logo with &quat;the muse&quat; in dark blue text.

Derivatives Valuation Financial Reporting, Vice President - Hybrid in NY

AT MUFG
MUFG

Derivatives Valuation Financial Reporting, Vice President - Hybrid in NY

New York, NY

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.

Want more jobs like this?

Get Software Engineering jobs in New York, NY delivered to your inbox every week.

By signing up, you agree to our Terms of Service & Privacy Policy.


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

This is a hybrid position. The recruiter will provide additional details.

Position Summary:

The Independent Pricing and Valuations (IPV) is a key team reporting the CFO, whose mandate it is to ensure accurate reporting of the firms balance sheet by performing independent testing of the firm's trading positions. This includes reviewing new and existing valuations of financial instruments, conducting month-end testing and analysis and preparing monthly summary reports for relevant business units. Independently pricing complex financial instruments for the bank's IPV process, including interest rate derivatives, foreign exchange derivatives and securities. Performing independent valuation for Foreign Exchange, Interest Rate and Credit Derivatives using Bank models and industry standard pricing tools (e.g. Bloomberg, Markit, Fincad, Matlab). Performing financial modeling and automating processes using advanced Excel skills and coding (python, vba)

Responsibilities:

  • Performing independent valuation for Foreign Exchange, Interest Rate and Credit Derivatives using Bank models and industry standard pricing tools including Bloomberg, Markit, Fincad, Matlab or SuperDerivatives;
  • Analyzing complex financial instruments including interest rates derivatives, foreign exchange spots, forward and options, credit derivatives and securities;
  • Performing financial modeling and automating processes using advanced Excel skills and coding;
  • Analyzing individual trades and/or models for valuation details;
  • Analyzing and comparing various models and modeling techniques;
  • Creating and documenting methodologies, processes and procedures;
  • Researching industry norms and current regulatory environment, communicating with traders, asset managers and senior managers to understand investment positions;
  • Working with internal and external auditors, financial regulators, quantitative modelers or traders to solve valuation problems and presenting valuation results;
  • Liaising closely with the Market Risk Management, Model Validation and Product Control teams to review valuation processes, procedures, documentation and practices as well as applied valuation methodologies

Requirements:

  • 5+ years of IPV experience. 10+ years financial markets experience
  • Deep knowledge of derivative products and pricing/model
  • Knowledge of SABR interest rate volatility model
  • Bachelor's degree required. Master's in quantitative discipline strong plus
  • Deep familiarity with different sources of market data and comfort evaluating their relative quality
  • Excellent Microsoft Office skills (Excel, PowerPoint)
  • Programming skills (VBA, python, SQL)
  • Strong knowledge of xVA-related topics and their implications for pricing of derivative products
  • Excellent interpersonal and communication skills
  • Results driven, with a strong sense of accountability
  • Strong decision-making skills, the ability to demonstrate sound judgment
  • A pro-active, motivated approach
  • The ability to operate with urgency, prioritize work accordingly and multi-task
  • A creative and innovative approach to work
  • Excellent attention to detail and accuracy

The typical base pay range for this role is between $120K-$10K depending on job-related knowledge, skills, experience and location. Additionally, our Total Rewards program provides colleagues with a competitive benefits package (in accordance with the eligibility requirements and respective terms of each) that includes comprehensive health and wellness benefits, retirement plans, educational assistance and training programs, income replacement for qualified employees with disabilities, paid maternity and parental bonding leave, and paid vacation, sick days, and holidays.

Reporting to the Director of US IPV, this position is primarily responsible for the independent validation of the firm's trading positions in macro trading products and improvement of related products

Major Responsibilities:

30% - Month IPV testing:

15% - Ad-hoc IPV testing:

35% - Process improvement: -including redesign of certain IPV processes on proprietary firm analytical library

20% - New Products, xVA, Client Valuation Support, Model Governance and other ad-hoc:

The typical base pay range for this role is between $120K - $150K depending on job-related knowledge, skills, experience and location. This role may also be eligible for certain discretionary performance-based bonus and/or incentive compensation. Additionally, our Total Rewards program provides colleagues with a competitive benefits package (in accordance with the eligibility requirements and respective terms of each) that includes comprehensive health and wellness benefits, retirement plans, educational assistance and training programs, income replacement for qualified employees with disabilities, paid maternity and parental bonding leave, and paid vacation, sick days, and holidays. For more information on our Total Rewards package, please click the link below.

MUFG Benefits Summary

The above statements are intended to describe the general nature and level of work being performed. They are not intended to be construed as an exhaustive list of all responsibilities duties and skills required of personnel so classified.

We are proud to be an Equal Opportunity/Affirmative Action Employer and committed to leveraging the diverse backgrounds, perspectives and experience of our workforce to create opportunities for our colleagues and our business. We do not discriminate on the basis of race, color, national origin, religion, gender expression, gender identity, sex, age, ancestry, marital status, protected veteran and military status, disability, medical condition, sexual orientation, genetic information, or any other status of an individual or that individual's associates or relatives that is protected under applicable federal, state, or local law.

#LI-Hybrid

Client-provided location(s): New York, NY, USA
Job ID: MUFG_Union_Bank-10058749-WD
Employment Type: Other

Perks and Benefits

  • Health and Wellness

    • HSA
    • On-Site Gym
    • HSA With Employer Contribution
    • Health Insurance
    • Dental Insurance
    • Vision Insurance
    • Life Insurance
    • Long-Term Disability
  • Parental Benefits

    • Non-Birth Parent or Paternity Leave
    • Birth Parent or Maternity Leave
  • Work Flexibility

    • Remote Work Opportunities
  • Office Life and Perks

    • Commuter Benefits Program
  • Vacation and Time Off

    • Personal/Sick Days
    • Paid Holidays
    • Paid Vacation
  • Financial and Retirement

    • Pension
    • 401(K) With Company Matching
  • Professional Development

    • Promote From Within
    • Mentor Program
    • Access to Online Courses
    • Tuition Reimbursement
  • Diversity and Inclusion

    • Diversity, Equity, and Inclusion Program