Market Risk Analytics Lead

4 weeks ago

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

Mizuho Bank Ltd is seeking a highly skilled Market Risk Analytics Lead to join its Risk Analytics group. The successful candidate will be responsible for developing methodologies and managing analytics for risk models, including value-at-risk, stress, and capital models.

The ideal candidate will have a strong background in quantitative modeling for market risk and experience with pricing and risk models for financial derivatives. They will also possess strong analytical skills, project management skills, and the ability to communicate effectively with managers who may not have a quantitative background.

Key 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
  • 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 and governance of historical time series data
  • Develop Market Risk Analytics platform
  • Identify risk not captured by analytics, develop and implement methodology to quantify materiality, and design strategic plan to better integrate and manage such risk
  • Support discussion with regulators as a subject matter expert
Requirements
  • 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 who may not have a quantitative background
Benefits

Mizuho Bank Ltd offers a competitive total rewards package, including a base salary range of $115,000 - $160,000, a generous employee benefits package, and a discretionary bonus. The company also offers a hybrid working program, with varying opportunities for remote work depending on the nature of the role, needs of the department, and local laws and regulatory obligations.

Mizuho Bank Ltd is an EEO/AA Employer and participates in the E-Verify program. The company maintains a drug-free workplace and performs pre-employment substance abuse testing.

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