Summary

Quantitative counterparty credit risk analytics specialist responsible for developing methodologies and managing analytics for risk models with the specific focus on counterparty exposure models. 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. More specifically the VP will lead all risk analytics initiatives and development of counterparty credit risk models such as EPE and PFE and their components for to a wide spectrum of businesses, including Interest Rates, FX, Equities, Credit, XVA, SA-CCR.

Responsibilities

• Develop, test, implement and document risk analytics for counterparty credit risk exposure models.




• Lead the enhancement of infrastructure to implement counterparty risk models including controls to monitor their performance.




• 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 exposure analysis.




• Lead efforts to maintain, update, improve back testing and stress testing framework and analyze results for remediation actions.




• Conduct analysis on existing model short-comings and design remediation plans




• Support discussion with regulators as a subject matter expert

Qualifications

• 3-5 years of experience in quantitative modeling for counterparty credit risk analytics




• Masters Degree in a quantitative field required, PhD preferred




• Deep understanding of counterparty exposure, XVA and Basel 3 Credit Capital models required. Knowledge of market risk models preferred.




• Deep knowledge of stochastic calculus and market fluctuation models. Expertise in pricing and risk models for financial derivatives. Strong analytical skills required to understand quantitative models in general.




• Strong knowledge and understanding of the derivative markets mainly for fixed income, equity and credit.




• Strong project, management and organizational skills.




• Strong writing and presentation skills.




• Knowledge of numerical methods (such as Monte Carlo) for exposure analysis.




• Proficient programming skills in python, Excel and database expertise. Knowledge of Murex is a plus.




• Ability to communicate effectively with managers that may not have quantitative backgrounds.

The expected base salary ranges from $115,000 - $170,000. Salary offers are based on a wide range of factors including relevant skills, training, experience, education, and, where applicable, certifications and licenses obtained. Market and organizational factors are also considered. In addition to salary and a generous employee benefits package, successful candidates are eligible to receive a discretionary bonus.

#WayUp

#Hybrid

Other requirements

Mizuho has in place a hybrid working program, with varying opportunities for remote work depending on the nature of the role, needs of your department, as well as local laws and regulatory obligations.

Company Overview

Mizuho Americas is the fastest growing region within Mizuho Financial Group (NYSE: MFG), the 15th largest bank in the world with total assets of approximately $2 trillion. Mizuho Americas is a leading provider of corporate and investment banking services to clients in the US, Canada, and Latin America and our capabilities span investment and corporate banking, capital markets, equity and fixed income sales & trading, derivatives, FX, custody and research. Mizuho Americas employs more than 3,000 professionals across 15 offices within the Americas. Learn more at www.mizuhoamericas.com.​

Mizuho Americas 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.

#LI-MIZUHO