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Model Validation Specialist role at MUFG in Bengaluru—focus on counterparty credit risk and XVA models.
Mid-level position requiring 1–6 years experience, strong quantitative skills, and expertise in regulatory capital and exposure simulations.
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Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), one of the world’s leading financial groups. Across the globe, we’re 150,000 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.
Position details
The use of models presents model risk, which is the potential for adverse consequences from decisions based on incorrect or misused model outputs and reports. Model risk can lead to financial loss, poor business and strategic decision-making, or damage to a banking organization’s reputation. Model validation is the set of processes and activities intended to verify that models are performing as expected, in line with their design objectives and business uses.
The candidate will report to the Head of Model and EUCC Risk in MGS India. The team is responsible for the enterprise-wide model validation and control function to ensure the continued safety and soundness of models used across the bank. Model Risk Management touches models across all lines of businesses and the candidate will have opportunities to work in validation across all areas of the bank.
This is a hands‑on individual contributor role focused on independent validation and effective challenge of market risk models.
Roles and Responsibilities
Independently validate counterparty credit risk and XVA models, including:
Exposure models: PFE, EPE, EEPE, EAD; Monte Carlo simulation engines; netting and collateral (CSA) modeling, margin period of risk (MPoR), and initial margin under ISDA SIMM
XVA models: CVA, DVA, FVA etc - including underlying pricing, calibration, and Greeks
Regulatory capital models: SA-CCR, IMM components, default risk charge, and CVA capital (BA-CVA / SA-CVA under Basel III final reforms.
Conduct end-to-end validation, including review of modeling methodologies, assumptions and limitations, risk factor evolution (HW, LMM, SLV, etc.), calibration approaches, proxy choices, implementation logic, and numerical robustness
Design and execute independent testing and benchmarking, including sensitivity analysis, convergence and stability tests, stress testing, backtesting of exposure profiles, and benchmarking against alternative methodologies or market practices
Review underlying pricing models across asset classes (Rates, Credit, FX, Equities, Commodities) that feed into XVA and exposure calculations
Support assessment of compliance with Americas Model Risk Management Policies and Procedures, U.S. regulatory expectations, and Basel CCR standards (SA-CCR, IMM, CVA framework)
Engage with model development, XVA desk, counterparty credit risk, front office, and technology teams to challenge methodologies, resolve validation findings, and support remediation while maintaining independence
Prepare clear and concise validation reports for senior management, model risk committees, auditors, and regulators
Contribute to activities across the model lifecycle - inventory classification, ongoing performance monitoring, annual reviews, issue tracking, and assessment of material model changes
Job Requirements
1–6 years of experience in CCR/XVA model validation, model development, XVA desk quant, or front-office quantitative roles within a bank or financial institution
Working knowledge of counterparty credit risk and XVA concepts — Monte Carlo exposure simulation, netting and collateral mechanics, CSA modeling, MPoR, and the CVA/FVA/KVA/MVA framework
Familiarity with derivative pricing across at least one asset class (Rates, Credit, FX, Equities, Commodities), including stochastic models commonly used for exposure simulation (e.g., Hull-White, LMM, local/stochastic volatility)
Exposure to regulatory frameworks: SA-CCR, IMM, Basel III CVA capital (BA-CVA / SA-CVA), ISDA SIMM, is strongly preferred
Solid grounding in quantitative finance, probability, statistics, and stochastic calculus
Awareness of model risk management frameworks and regulatory guidance such as FRB SR 11-7, OCC 2011-12, and Basel CCR standards
Proficiency in at least one programming language used in quantitative analysis (e.g., Python, C++, R)
Strong verbal and written communication skills, with the ability to clearly document findings and engage with stakeholders
Advanced degree (Master’s or PhD preferred) in Quantitative Finance, Mathematics, Statistics, Physics, Engineering, or a related discipline
Mitsubishi UFJ Financial Group (MUFG) is an equal opportunity employer. We view our employees as our key assets as they are fundamental to our long-term growth and success. MUFG is committed to hiring based on merit and organsional fit, regardless of race, religion or gender.