Market Risk Analytics Specialist

2 weeks ago


New York, New York, United States Mizuho Bank Ltd Full time
Job Summary

We are seeking a highly skilled Market Risk Analytics Specialist to join our team at Mizuho Bank Ltd. As a key member of our Risk Analytics group, you will be responsible for developing and managing analytics for risk models, including value-at-risk, stress, and capital models.

Key Responsibilities
  • Develop and implement risk analytics models for various business lines, including Interest Rates, FX, Equities, XVA, Banking, and Securitized Products.
  • Execute functional testing to verify correct implementation of risk models, including replication and benchmarking.
  • Support 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 to enhance and improve risk analysis.
  • Conduct analysis on existing model shortcomings and design remediation plans.
  • Maintain, update, improve, and back-test risk models.
  • Analysis of historical time series data.
  • 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.
Requirements
  • Masters Degree in a quantitative field preferred.
  • Understanding of Value-at-Risk and counterparty exposure models preferred.
  • Knowledge of pricing and risk models for financial derivatives.
  • Strong analytical skills required to understand quantitative models.
  • Strong project, management, and organizational skills.
  • Strong writing and presentation skills.
  • Proficient programming skills in Python and database expertise.
  • Ability to manage and analyze large data sets.
About Mizuho Bank Ltd

Mizuho Bank Ltd is a leading provider of corporate and investment banking services to clients in the US, Canada, and Latin America. We offer a competitive total rewards package and are an EEO/AA Employer - M/F/Disability/Veteran. We participate in the E-Verify program and maintain a drug-free workplace.



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