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Quantitative Risk Analytics - AVP

Employer
Mizuho
Location
New York City, New York, United States
Closing date
Apr 22, 2024

View more

Job Role
Risk Manager
Sector
Finance
Contract Type
Permanent
Hours
Full Time
Summary

Quantitative Credit Risk Analytics specialist responsible for developing methodologies and managing analytics for risk models including Stress test (PD/LGD/EAD/EL), CECL, Credit ratings and Value-at-risk models. Candidate will join the Credit Risk Analytics group that partakes in model development over the full life-cycle of modes: from methodology to 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 AVP will support/lead all risk analytics initiatives and development relating to a wide spectrum of Wholesale products, including Loans, Leases, RBL, ABL, Project finance, and etc. for different industries and regions.

Responsibilities
  • Develop, test, implement and document risk analytics for new products
  • Support/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 the 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
  • Develop/support Credit Risk Analytics platform
  • 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
  • Support discussion with regulators as a subject matter expert

Qualifications
  • 3-5 years of experience in quantitative modeling for Credit Risk
  • Masters Degree in a quantitative field preferred
  • Deep understanding of PD/LGD/EAD/EL models for Wholesale portfolio
  • Strong knowledge in statistical tools: regressions, time series models and statistical hypotheses testing
  • 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
  • Experience with Bayesian statistics/techniques preferred
  • Ability to communicate effectively with managers that may not have quantitative backgrounds

The expected base salary ranges from $110,000 - $125,000. 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, successful candidates are eligible to receive a discretionary bonus.

Other requirements

Mizuho has in place a remote 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.

Company Overview

Mizuho Americas is a leading financial institution comprising several legal entities, which together offer clients corporate and investment banking, financing, securities, treasury services, asset management, research and more. Mizuho's operations in the Americas connect a broad client base of major corporations, financial institutions and public sector groups to local markets and a vast global network. Mizuho Americas is an integral part of the Japan-based Mizuho Financial Group, Inc. (NYSE: MFG), which is comprised of offices in nearly 40 countries, approximately 60,000 employees, and assets of more than USD 1.8 trillion. Learn more at 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 perform pre-employment substance abuse testing.

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