Summary
Quantitative market risk analytics specialist responsible for developing methodologies and managing analytics for various risk models such as value-at-risk, stress testing, and capital models. Candidate will join the Risk Analytics group that partakes in the complete life cycle of model development: from methodology inception and 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 VP will be responsible for risk analytics initiatives and development pertaining to fixed income 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 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
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
Ongoing analytical support of the business
Qualifications
4-7 years of experience in quantitative modeling for market risk, focused on fixed income and securitized products
Master’s degree in a quantitative field, such as mathematics or physics, preferred
Deep understanding of Value-at-Risk and the OAS framework with a focus on fixed income and securitized products (e.g., agency MBS, etc.)
Knowledge of pricing and risk models for financial derivatives
Understanding of prepayment model and its role in MBS valuation
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
Experience with PolyPaths software strongly preferred
Ability to communicate effectively with managers that may not have quantitative backgrounds.
The expected base salary ranges from $137,500 - $185,000. 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, including Medical, Dental and 401K plans, successful candidates are also 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. Roles in some of our departments have greater in-office requirements that will be communicated to you as part of the recruitment process.
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 www.mizuhoamericas.com.
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 reserve the right to require pre- and post-hire drug testing as permitted by applicable law.
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