ALM Modeling Analyst II

The Mitsubishi UFJ Financial Group (MUFG) is one of the world’s leading financial groups, with total assets of approximately $2.3 trillion (USD)1 as of June 30, 2015. Our services include corporate banking, commercial banking, retail banking, wealth management, investment banking, capital markets, personal and corporate trust, and transaction banking.

Asset-Liability Management (ALM) is a core function of a bank that requires modeling the bank’s balance sheet and interest income under a variety of different economic scenarios. The ALM Modeling Analyst II role resides within the firm’s Corporate Treasury and supports processes integral to ALM. The Analyst will help perform, develop, and maintain key procedures, processes, and models necessary for the production of the interest rate risk and liquidity profile for the firm. The Analyst will also provide in-depth analysis of key balance sheet items, working closely with management to offer valuable insight into the bank’s interest rate risk management and balance sheet management.

* Prepare the interest rate risk simulation model, related balance sheet forecasts, verifying the accuracy, reasonableness, and consistency of data and assumptions. * Support the monthly production and analysis of Interest Rate Risk and Liquidity Risk and provide in-depth analysis and understanding of key drivers. * Produce and analyze additional risk types such as option, basis, curve, and yield risk. * Support the analysis of data and development of statistical forecasting and predictive models. * Implement models into risk management systems, monitor model performance and develop associated documentation. * Work with various Lines of Business within the firm to collect and interpret data, and help manage the interest rate risk across the lines of business. * Provide reporting and analysis as needed/requested to support business line risk/return profile. Research issues related to data capture and integrity. * Work closely with ALM Modeling team members to reconcile forecast results to actuals. * Perform independent data mining, analysis, and reporting, as assigned. * Perform data mapping to ALM modeling tools such as QRM or Oracle/OFSA. * Work on ad-hoc analytical and business related projects as requested.

* Bachelor’s degree in accounting, finance, economics, or related field. MS, MBA and/or CFA preferred. * 5+ years of related experience in a bank, including accounting, financial reporting, fixed income security analysis, financial modeling, computer programming and database development, or a combination of education and experience sufficient to satisfactorily perform the duties of this job. * Successful experience of 3 years as an interest rate risk analyst using a risk rate quantification model (i.e., QRM or OFSAA) in an institution with a comparable balance sheet. * A strong understanding of commercial banking products. In-depth understanding of fixed-income analytics * A solid understanding of accounting theory, economic conditions, and complex financial instruments. * Excellent analytical skills to perform financial analyses across a variety of business units and products; proficient in Microsoft Office applications including Excel, Word, Access, and PowerPoint. * Strong communication and interpersonal skills, self-motivated/results-oriented, with the ability to function effectively with deadlines and work within a team environment with minimal supervision. * Excellent organizational and time-management skills.