Exposure Management VP / Director

Mizuho Financial Group Inc.; Northern, New York (KY, NY); Hybrid; USD 153,000 - 235,000; Full time

Benefits offered by this job

Medical benefits

401K plan

Discretionary bonus

Job summary

Mizuho Financial Group Inc. in New York, NY, seeks a senior VP/Director for Exposure Management to lead quantitative counterparty credit risk work.

The role anchors SIMM modeling and risk analytics within the Credit Risk Management hierarchy, with a hybrid work program. The ideal candidate has 8-10+ years of experience in counterparty credit risk and a strong background in OTC derivatives risk, data analytics, and quantitative modeling.

Qualifications

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

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 analytics to measure counterparty credit risk for limits, capital, and analysis.
• Develop methodologies and analytics related to haircuts/Independent-Amounts/Initial-Margin

Skills

Quantitative risk analytics

Excel

Access

Python

OTC derivatives risk

Financial modeling

Education

Advanced degree in quantitative discipline

Tools

Python

Excel

Access

Job description

## Exposure Management VP / DirectorApply: New York, NY (1271 AOA/6th Ave): Full time: Posted Yesterday: R7367**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.*#LI-Hybrid**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**.**