Quantitative Risk Analytics (CECL), Vice President
VP level quantitative credit risk. The credit risk analytics function is responsible for development and maintenance of quantitative models to support credit risk management and portfolio management requirements that cover the wholesale loans, repos, project finance, securitizations and IR derivatives portfolios. Candidate will join the Risk Analytics group that partakes in model development over the full life-cycle of modes: from methodology to design to implementation. The successful candidate will also provide analysis and feedback on changes to or introduction of new models at the firm. Responsibilities
- Develop CECL framework and models, including create appropriate models for various banking product segments, research on industry leading modeling approach, design and review scenario expansion, model amortization and prepayment, and research on mean reversion methodology.
- Develop credit risk models (PD, LGD, and EAD) that support the loss estimation for CECL and stress testing. Maintain and enhance the existing models through various statistical tests, back-testing, and sensitivity testing.
- Work on credit risk management initiatives such as stress, concentration risk, idiosyncratic risk, and CCP risk.
- Support model submission and validation review by providing requested materials and performing appropriate analysis. Work with internal model validation team to ensure successful model validation.
- Routinely monitor the model performance to support risk appetite and capital planning exercises.
- Develop Risk Analytics platform.
- Bachelor degree in a quantitative field such as mathematics, statistics, computer sciences, economics, quantitative finance or engineering; Advanced degree is a plus.
- At least 5 years of experience working for large and complex financial institutions as a quantitative model developer.
- Strong working knowledge of investment bank credit products (including loans, repos, CDS, and structured products) and the associated credit risk metrics.
- Strong experience developing analytics for CECL; implementation of CECL end to end from either CCAR or DFAST built is a plus.
- Proficient programming skills in python and R (other languages such as SAS, C++, PERL is a plus).
- Database expertise: SQL, Sybase.
- Superior oral and written communication skills.
- Experience with stress testing and SR12-7 is 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.