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Quantitative Exposure Management, VP

Company: Mizuho Americas
Location: New York
Posted on: November 22, 2021

Job Description:

The Role / Summary of the Role: Mizuho Americas is seeking a VP in its Quantitative Exposure Management (QEM) function, reporting to QEM lead, under the Head of Market Risk and Quantitative Exposure Management. The VP 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: PFE and EAD modelling, VaR modelling, portfolio risk analysis, sensitivity analysis, scenario analysis, stress testing, wrong way risk analysis, SIMM modelling, and counterparty risk capital 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: 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. Oversee the performance of the regulatory required SIMM model. Subject Matter Expert in Federal Reserve SR11-10 letter requirements on counterparty credit risk management. Qualifications: 5+ 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. Other requirements. Must be able to work on-site at Mizuho's office. Mizuho currently requires employees to be fully vaccinated against COVID-19 to work on-site (unless a legally-required accommodation or exemption has been approved). 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 Bank Ltd. 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. #LI-MIZUHO.

Keywords: Mizuho Americas, New York , Quantitative Exposure Management, VP, Executive , New York, New York

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