FX & FI Derivatives, Market Risk - Director

Mizuho EMEA; Greater London; On-site; GBP 150,000 - 210,000; Full time

Benefits offered by this job

Discretionary bonus

Non-contributory pension

Hybrid working

27 days annual leave

Wellbeing benefits

Job summary

Mizuho EMEA seeks a senior market risk professional to own risk oversight across the FX, FX options and fixed income derivatives portfolios. You will partner with trading, structuring and analytics teams to challenge models, pricing assumptions and hedging strategies.

The role requires deep quantitative expertise, strong communication to senior committees and a track record of risk ownership in complex derivative books. Hybrid working is offered with global cooperation.

Qualifications

• 8–10 years post-qualification market risk experience in FX options and/or rates derivatives.
• Independent risk ownership across vanilla and exotic FX options.
• Experience with stress testing methodology and scenario design.
• Regulatory familiarity with FRTB IMA/SA-TB.
• Strong Python for risk analytics and P&L explanation.
• Familiarity with data infrastructure and risk platforms such as Murex.

Responsibilities

• Own end-to-end market risk for FX, FX options and rates derivatives.
• Manage risk framework: daily risk reporting, P&L attribution, limits and escalation.
• Develop stress scenarios and present results to governance committees.
• Lead model governance input for FX and rates pricing models.
• Mentor risk analysts and drive continuous improvement within the team.
• Collaborate with traders, structurers and quants on approvals and hedging.
• Deputise for Head of Mizuho EMEA Market Risk Management on committees.

Skills

Quantitative depth

Python

Risk analytics

Stress testing

FX options risk

Rates derivatives risk

Model governance

Education

MSc or PhD in a quantitative field

CFA/FRM/PRM advantageous

Tools

Murex

Job description

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This is a senior, highly technical role within the Mizuho EMEA Market Risk team, carrying independent risk oversight responsibility across cross-asset derivatives franchise in FX and IR. The position combines deep FX and FX Options coverage – spanning vanilla and exotic spectrum – with additional oversight of the Fixed Income derivatives portfolio, including interest rate swaps, inflation derivatives, structured rates products and cross-currency transactions.

Role will also act in as senior manager, ability to deputise for Head of EMEA Market Risk management on regular basis.

The successful candidate will serve as the primary market risk authority for Mizuho EMEA’s derivatives businesses, partnering closely with FX and Rates trading, structuring and quantitative analytics teams. This is a hands-on, intellectually demanding role that requires genuine quantitative depth, commercial awareness of trading dynamics and the credibility to challenge front-office pricing and hedging assumptions at the most senior level.

It is a compelling time to join Mizuho in EMEA as the bank continues to build out its Risk team and capabilities. The person will be given the required backing and support to ensure success.

Duties and Responsibilities

End-to-End Market Risk Ownership – FX & FX Options

• Closely observe relevant market developments across rates and currencies markets, critically review risks in FEG / Rates Derivatives portfolio and provide value-added challenge on risk positioning in forward looking market context.
• Manage market risk framework for the entire FX and FXO businesses, including daily risk reporting, P&L attribution, limit monitoring and escalation across spot, forwards, vanilla options and the full suite of exotic structures.
• Monitor and analyse risk sensitivities across the full FX volatility surface – delta, gamma, vega, and higher-order Greeks – with particular focus on spot vol grids, pin risks, smile dynamics, term structure and cross-currency effects.
• Understand and challenge pricing models for exotic FX options and inputs including local and stochastic volatility.
• Maintain and evolve the limit framework for FX and FXO businesses, ensuring coverage of Greeks limits, VaR, stress and notional constraints aligned to risk appetite and regulatory standards.
• Support the FRTB IMA / SA-TB analysis for derivatives trading books, contributing to internal capital calculations and regulatory submissions alongside the Head of Market Risk.
• Provide independent daily risk oversight for the Fixed Income derivatives portfolio, including interest rate swaps (vanilla, basis, OIS, cross-currency), inflation swaps and linkers, swaptions and structured rates products, and the DRSE (Derivative Risk Solutions EMEA) interest rate and currency hedging portfolio.
• Monitor and analyse rates sensitivities across tenors, currencies and curves – including DV01, PV01, convexity, vega, cross-gamma and basis risk – ensuring a complete and accurate risk picture across the multi-currency rates franchise.
• Oversee the interaction between FX and rates risk in cross-currency derivatives ensuring coherent cross-asset risk measurement and appropriate limit coverage.
• Design, implement and maintain bespoke stress scenarios for the combined FX derivatives and FI derivatives portfolios, covering: FX spot and volatility surface shocks, correlation breakdown, liquidity squeezes and geopolitical events; parallel and non-parallel yield curve shifts, central bank policy surprises and sovereign spread stress; combined cross-asset scenarios that capture the interaction between FX and rates risk in structured products and cross-currency transactions.
• Ensure FRTB-compliant Expected Shortfall and SA calculations are robust, well-documented and regularly reviewed.
• Lead historical stress test analysis, mapping significant market events (GFC, Eurozone crisis, 2022 GBP/LDI event, post-COVID rate normalisation, EM FX crises) to current portfolio exposures.
• Develop reverse stress tests across the derivatives book, identifying scenarios that approach risk appetite thresholds and working with management on appropriate mitigants.
• Present stress testing methodology, results and management actions to the Stress Testing Committee, Market Model & Methodology Committee and, where required, regulatory supervisors.
• Act as a key contributor to the model governance process for FX and rates derivatives pricing models, providing independent market risk input to model validation and approval processes.
• Lead the development and enhancement of in-house risk analytics tools (Python-based Greeks calculators, P&L explain frameworks, scenario engines) to support real-time risk management of complex exotic and structured portfolios.
• Identify and elevate model limitations, calibration weaknesses and infrastructure gaps; drive remediation in collaboration with Quantitative Analytics and Technology.
• Contribute to the ongoing evolution of P&L attribution methodology across the FX and FI derivatives books, ensuring risk explain frameworks keep pace with product and model development.

Governance & Stakeholder Engagement

• Partner closely with FX and Rates traders, structurers and quants on new product approvals, hedging strategy reviews and limit breach management.
• Prepare and present risk positions, stress results and technical insights to senior risk management, the EMEA Risk Management Committee, Stress Testing Committee, Market Model & Methodology Committee and the New Product Working Group.
• Act as a credible and technically authoritative counterpart to FCA/PRA supervisors and internal audit on matters relating to FX derivatives and FI derivatives market risk.
• Maintain strong working relationships with Tokyo-based parent risk functions, ensuring EMEA derivatives risk is accurately and transparently represented at group level.
• Attend and contribute to the Prudential & Regulation Committee, Financing Committee and other governance forums as directed by the Head of Market Risk EMEA.
• Deputise for Head of EMEA MRM on key committees and senior leadership meetings.
• Strategical thinker with critically review existing processes and drive improvements forward.
• Mentor a small team of risk analysts, maintaining personal technical ownership of the most complex areas of the book.
• Foster a culture of rigour, intellectual curiosity and continuous improvement within the team, supporting the Head of Market Risk EMEA in developing the broader Market Risk function.

Qualifications, Skills, and Experience

• A minimum of eight to ten years of relevant post-qualification experience in market risk management (or a front-office quant/risk hybrid role) specifically covering FX options and/or interest rate derivatives in an investment bank, major hedge fund or large systematic trading house.
• Proven track record of independent risk ownership across vanilla FX options and a wide range of exotic structures (barriers, Asians, lookbacks, digitals, quantos, volatility products).
• Material experience covering Fixed Income derivatives risk, including multi-currency swaps, swaptions, inflation and structured rates products, ideally alongside FX derivatives coverage.
• Demonstrable experience in stress testing methodology and scenario design for derivatives portfolios, including presentation to senior risk governance forums.
• Direct exposure to regulatory frameworks including FRTB (IMA and SA-TB)
• Relevant academic background in a quantitative discipline (Mathematics, Physics, Financial Engineering or equivalent) from a leading institution; MSc or PhD strongly preferred. CFA, FRM or PRM is advantageous.
• Advanced understanding of option pricing theory and numerical methods.
• Strong command of FX volatility surface construction, arbitrage-free interpolation and dynamic smile modelling.
• Deep knowledge of exotic FX option risk drivers: path-dependency, barrier monitoring, averaging features, quanto adjustments and correlation skew.
• Solid technical grounding in interest rate derivatives risk measurement: multi-curve DV01/PV01, convexity, basis risk, swaption vega, cross-gamma and XCCY basis.
• Proficiency in Python for risk analytics development and P&L explain.
• Familiarity with industry risk and pricing platforms (Murex) and data infrastructure.

What Mizuho can offer you

Here at Mizuho, there are fantastic progression opportunities and clear paths to promotion. We will give you ample opportunity to affect change and to help grow our business.

In addition to the great opportunity outlined above we are also currently able to offer:

• Competitive starting salary, plus discretionary bonus
• Non-contributory pension
• 27 days’ annual leave
• Core working hours*
• Hybrid working - office and home based*
• Virtual GP
• Wellbeing benefits, including Mental Health Allies and First Aiders

* For applicable roles only

At Mizuho, we embrace flexible ways of working when the role permits. We offer different working arrangements like part-time, job-sharing and hybrid (office and home) working. Our purpose-led culture and global infrastructure help us connect, collaborate, and work together in agile ways to meet all our business needs.

At Mizuho we are committed to supporting equality, diversity and equality, and seek to create a workplace that is fully inclusive.

We welcome applications from all sections of the community that we operate in and from all ethnic backgrounds, sexual orientation, beliefs, gender identities and disabilities.

If you require more information about our equal opportunities policy or wish to discuss any accessibility requirements or reasonable adjustments please contact the recruitment team – [e-mail] and we will be happy to help.