Market Risk Analytics Lead - New York, United States - Mizuho Bank Ltd

Description

Summary

Quantitative market risk analytics specialist responsible for developing methodologies and managing analytics for risk models including value-at-risk, stress, and capital 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 candidate will lead all risk analytics initiatives and development relating to a wide spectrum of businesses, including Interest Rates, FX, Equities, XVA, Banking, and Securitized Products.

Responsibilities

• Develop, test, implement and document risk analytics for new products
• Lead the enhancement of infrastructure to implement new risk analytics 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 risk analysis.
• Conduct analysis on existing model short-comings and design remediation plans
• Maintain, update, improve and back-test risk models
• Analysis and governance of historical time series data
• Develop Market Risk Analytics platform
• Identify risk not captured by analytics, develop and implement methodology to quantify the materiality, and design strategic plan to better integrate and manage such risk
• Support discussion with regulators as a subject matter expert

Qualifications

• 3-5+ years of experience in quantitative modeling for market risk
• Masters Degree in a quantitative field preferred
• Deep understanding of Value-at-Risk and counterparty exposure models preferred
• Experience with pricing and risk models for financial derivatives
• Strong analytical skills required to understand quantitative models
• 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.
• Proficient programming skills in python and database expertise
• Experience with time series techniques and governance
• Ability to communicate effectively with managers that may not have quantitative backgrounds

The expected base salary ranges from $115,000 - $200,000. 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.

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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 Financial Group, Inc. is the 15th largest bank in the world as measured by total assets of ~$2 trillion. Mizuho's 60,000 employees worldwide offer comprehensive financial services to clients in 35 countries and 800 offices throughout the Americas, EMEA and Asia. Mizuho Americas is a leading provider of corporate and investment banking services to clients in the US, Canada, and Latin America. Through its acquisition of Greenhill, Mizuho provides M&A, restructuring and private capital advisory capabilities across Americas, Europe and Asia. Mizuho Americas employs approximately 3,500 professionals, and its capabilities span corporate and investment banking, capital markets, equity and fixed income sales & trading, derivatives, FX, custody and research. Visit

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.

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