VP level quantitative market risk analytics specialist for developing and managing analytics for FRTB, SIMM and SA-CCR. Candidate will join the Risk Analytics group that partakes in model development over the full life-cycle of modes: from methodology to design to local implementation and validation. The successful candidate will also provide analysis and feedback on changes to or introduction of new models at the firm.
Develop and implement analytics for SA-CCR and FRTB-TB
Manage, maintain and improve SIMM framework and future margin valuation adjustment model infrastructure
Create and execute strategies to minimize funding cost related to regulation of IM posting
Build infrastructure to consolidate funding capital and liquidity metrics by our trading counterparties
Perform quantitative research to implement model changes, enhancements and remediation plans.
Work with stakeholders across business and functional teams during model development process.
Create tools and dashboards which can enhance and improve the risk analysis.
Conduct analysis on existing model short-comings and design remediation plans.
Maintain, update and back-test risk models.
Develop Risk Analytics platform.
Assess the methodologies and processes used by modeling teams to develop and manage their models, and identify potential weaknesses and the associated materiality of the risk
At least a Bachelor’s Degree in quantitative subject; Advanced Degree is a plus.
Deep understanding of pricing and risk calculations for financial derivatives.
Strong analytical skills required to understand quantitative models, and to translate that understanding into sustainable library design, code development and integration into IT’s systems.
At least 5 years of experience in quantitative modeling for derivatives.
Strong project, management and organizational skills.
Strong writing capabilities.
Proficient programming skills in python (other languages such as R is a plus).
Superior oral and written communication skills.
Experience with Murex a plus.
Mizuho Americas is a leading financial institution comprising several legal entities, which together offer clients corporate and investment banking, financing, securities, treasury services, asset management, research and more. Mizuho’s operations in the Americas connect a broad client base of major corporations, financial institutions and public sector groups to local markets and a vast global network. Mizuho Americas is an integral part of the Japan-based Mizuho Financial Group, Inc. (NYSE: MFG), which is comprised of offices in nearly 40 countries, approximately 60,000 employees, and assets of more than USD 1.8 trillion. Learn more at mizuhoamericas.com.
Mizuho Bank Ltd. offers a competitive total rewards package.
We are an EEO/AA Employer - M/F/Disability/Veteran.
We participate in the E-Verify program.
We maintain a drug-free workplace and perform pre-employment substance abuse testing.