Exposure Management VP / Director

Mizuho; New York (NY); Hybrid; USD 153,000 - 235,000; Full time

Benefits offered by this job

Hybrid work model

Competitive total rewards package

Job summary

Mizuho Americas is seeking a Senior VP or Director for Exposure Management to lead quantitative counterparty credit risk initiatives and reporting. The role sits within Credit Risk Management and collaborates with IT, project management, and the Capital Markets Credit Department to quantify risk and monitor aggregates.

The candidate will guide SIMM oversight, develop analytics for limits and capital, and help establish haircuts/Initial Margin frameworks while enabling regulatory-compliant

Qualifications

• 8-10+ years of direct experience in quantitative counterparty credit risk management.
• Extensive OTC derivatives, listed derivatives, and financing product expertise.
• Strong quantitative skills in data analysis using Excel, Access, Python.
• Advanced degree in quantitative discipline.

Responsibilities

• Oversee the performance of the regulatory required SIMM model and improve existing processes.
• Contribute to a focused team to establish and continually develop the Quantitative Exposure Management framework.
• Develop and utilize analytics to measure counterparty credit risk for limits, capital, and analysis.
• Develop and maintain methodologies and analytics related to haircuts/Independent-Amounts/Initial-Margin

Skills

Quantitative risk

Data analysis

Communication

Education

Advanced degree in quantitative discipline

Tools

Excel

Access

Python

Job description

Summary Of The Role

Mizuho Americas is seeking a senior VP or Director in its Exposure Management (EM) function, reporting to EM lead, under the Credit Risk Management hierarchy. The candidate will work with a focused team of individuals tasked with establishing a quantitative measurement framework for counterparty credit risk exposures, following the guidance of the Federal Reserve SR11-10 letter (Interagency Counterparty Credit Risk Management Guidance). This may include among other items: regulatory margin (SIMM model and its ongoing monitoring), PFE and EAD modelling, VaR modelling, portfolio risk analysis, sensitivity analysis, scenario analysis, stress testing, wrong way risk analysis. The team will partner with the Capital Markets Credit Department to measure limit usage, establish collateral requirements, and develop a comprehensive haircut/Independent Amount/Initial Margin framework. The team will also partner with IT and project management to implement credit risk measure quantification and its aggregated reporting and monitoring.

Core Responsibilities

• Oversee the performance of the regulatory required SIMM model and improve existing processes
• Contribute to a focused team to establish and continually develop the Quantitative Exposure Management framework
• Develop and utilize analytics to measure counterparty credit risk for limits, capital, and analysis
• Develop and maintain methodologies and analytics related to haircuts/Independent-Amounts/Initial-Margin

Qualifications

• 8-10+ years of direct experience in quantitative counterparty credit risk management
• Extensive OTC derivatives, listed derivatives, and financing product expertise and experience
• Strong quantitative skills in data analysis using EXCEL, ACCESS, Python
• Advanced degree in quantitative discipline

The expected base salary ranges from $152,500 - $235,000. 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.

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.

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.