Quantitative Credit Risk Analytics, VP at Mizuho Americas Services LLC in New York, New York

Job Description:

Summary

The VP-level quantitative credit risk analytics professional is responsible for developing methodologies and managing analytics for stress testing, risk appetite, CECL, economic capital and counterparty models including TM/PD, LGD, EAD, EL, and value-at-risk. 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. Candidate will lead risk analytics initiatives and development of the assigned project.
 

Responsibilities

• Develop credit risk models, test, implement and document risk analytics.




• Perform quantitative research to implement model changes, enhancements and remediation plans.




• Work with stakeholders across business and functional teams during model development and implementation 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, and improve existing models.




• Identify risks not captured by analytics, develop and implement methodology to quantify the materiality, and design a strategic plan to better integrate and manage such risk




• Support discussions with regulators as a subject matter expert

Qualifications

• Master’s Degree in quantitative subject; PhD is a big plus.




• At least 5 - 7 years of experience in quantitative modeling for credit risk.




• Strong analytical skills required to understand quantitative models, and to translate that understanding into sustainable library design, code development and integration into IT systems.




• Strong knowledge in statistics and statistical tools (hypothesis testing, regressions, time series models, MCMC Bayesian tool, state space model and etc.)




• Deep understanding of main credit risk parameters (TM/PD, LGD, EAD, and EL) modeling.




• Proficient programming skills in python (other languages such as R, SQL is a plus).




• Experience in the use of machine learning techniques applied to risk modeling is a plus




• Strong project, management and organizational skills.




• Strong writing and presentation skills.




• Superior oral and written communication skills. Ability to communicate effectively with managers that may not have quantitative backgrounds.

The expected base salary ranges from $115,000 - $170,000. 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.

#WayUp

#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.

Company Overview

Mizuho Americas is the fastest growing region within Mizuho Financial Group (NYSE: MFG), the 15th largest bank in the world with total assets of approximately $2 trillion. Mizuho Americas is a leading provider of corporate and investment banking services to clients in the US, Canada, and Latin America and our capabilities span investment and corporate banking, capital markets, equity and fixed income sales & trading, derivatives, FX, custody and research. Mizuho Americas employs more than 3,000 professionals across 15 offices within the Americas. Learn more at www.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.

#LI-MIZUHO