Quantitative Risk Analytics (PFE/EPE models), Vice President Quantitative Risk Analytics (PFE/EPE models), Vice  …

Mizuho Bank Ltd
in New York, NY, United States
Permanent, Full time
Last application, 14 Jun 19
Mizuho Bank Ltd
in New York, NY, United States
Permanent, Full time
Last application, 14 Jun 19
Quantitative Risk Analytics (PFE/EPE models), Vice President
VP level quantitative credit risk analytics specialist for portfolio of OTC Rates, FX and Equity Derivatives for major Wall Street bank. Candidate will join 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.

  • Develop PFE/EPE models for Interest Rate, FX and Equity Derivatives.
  • 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 which can enhance and improve the quality of market and credit risk-related data.
  • Conduct analysis on existing model short-comings and design remediation plans.
  • Maintain, update and back-test risk models.
  • Integrate/Migrate PFE/EPE analytics into Global Framework.
  • Develop Risk Analytics platform.

  • At least a Bachelor's Degree in quantitative subject; Masters or PhD Degree is a plus.
  • Strong experience of stochastic modelling and implementation for PFE/EPE and CVA/xVA
  • Strong knowledge of volatility surface models and particularly SABR
  • Strong experience with calibration methodologies and processes
  • 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 a quantitative role either in pricing or in counterparty credit analytics.
  • Proficient programming skills in python and R (other languages such as C++, perl, C# is a plus).
  • Database expertise: SQL, Sybase.
  • Superior oral and written communication skills.
  • Experience with stress testing applied to EPE in the context of CCAR, DFAST or CECL is a plus.

Company Overview
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.