Mizuho Bank Ltd
Model Risk VP Summary
Mizuho America's Model Risk Management is the firm's second line of defense tasked with managing model risk generated via the firm's various entities and corporate functions. The group is tasked with establishing and implementing an SR 11-7 consistent risk management framework by which the firm's model inventory is effectively challenged and validated. The group is additionally tasked with managing model risk governance, ensuring compliance with policies, procedures, and regulatory rules. Mizuho seeks a highly motivated individual to serve as a Senior Model Validator. The employee will work within the Model Risk Management Group. They will perform model validation of Bank's valuation models as well as downstream models such as Value at Risk and XVA models.
Responsibilities
Provide independent review and validation of a variety of derivatives pricing models as well as their downstream usages such as risk factor sensitivity and XVA calculation.
Evaluate the models based on various aspects including - model data and parameters, design and methodology, implementation and model documentation; perform model benchmarking by using alternate approaches; assess model assumptions and limitations
Verbally communicate validation results and discuss issues, challenges and methodologies with internal audiences including senior management
Support tracking of corrective action plans for models and ensure that they are closed appropriately
Engage in the entire model lifecycle; describe and support model validation outcome during model approval process
Work with model owners, developers and users to ensure models are operating within the framework of the Mizuho Americas Model Risk Management Policy
Qualifications
Advanced degree in a quantitative discipline
General knowledge of stochastic calculus, statistical analysis; derivatives pricing theory across one or more asset classes (IR / FX / Credit / Equity), traded products and market / credit risk
Industrial Financial Services experience performing one of the following; model validation, model development, risk management or related fields is a plus
Strong oral communication and technical writing skills
Strong programming and database skills
Understanding of SR 11-7 guidance on model risk management
The expected base salary ranges from $137,500 - $185,000. 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. Visit 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 reserve the right to require pre‑ and post‑hire drug testing as permitted by applicable law.
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Responsibilities
Provide independent review and validation of a variety of derivatives pricing models as well as their downstream usages such as risk factor sensitivity and XVA calculation.
Evaluate the models based on various aspects including - model data and parameters, design and methodology, implementation and model documentation; perform model benchmarking by using alternate approaches; assess model assumptions and limitations
Verbally communicate validation results and discuss issues, challenges and methodologies with internal audiences including senior management
Support tracking of corrective action plans for models and ensure that they are closed appropriately
Engage in the entire model lifecycle; describe and support model validation outcome during model approval process
Work with model owners, developers and users to ensure models are operating within the framework of the Mizuho Americas Model Risk Management Policy
Qualifications
Advanced degree in a quantitative discipline
General knowledge of stochastic calculus, statistical analysis; derivatives pricing theory across one or more asset classes (IR / FX / Credit / Equity), traded products and market / credit risk
Industrial Financial Services experience performing one of the following; model validation, model development, risk management or related fields is a plus
Strong oral communication and technical writing skills
Strong programming and database skills
Understanding of SR 11-7 guidance on model risk management
The expected base salary ranges from $137,500 - $185,000. 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. Visit 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 reserve the right to require pre‑ and post‑hire drug testing as permitted by applicable law.
#J-18808-Ljbffr