Analyst/Associate - Exposure Management

Mizuho•New York, NY

7d•Hybrid

About The Position

Mizuho Americas is seeking an Analyst/Associate in its Exposure Management (EM) function, reporting to EM lead, under the Head of Market and Liquidity Risk Management. 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: PFE and EAD modelling, counterparty VaR modelling, portfolio risk analysis, sensitivity analysis, scenario analysis, stress testing, wrong way risk analysis, SIMM modelling, and counterparty risk capital analysis. The team partners 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 also partners with IT and project management to implement credit risk measure quantification and its aggregated reporting and monitoring.

Requirements

Master’s degree in Quant Finance/Mathematics/Engineering.
Strong analytical skills and quantitative background.
Experience in Python, VBA, SQL preferred
Knowledge of derivative products/counterparty credit risk preferred
Excellent written and verbal presentation skills
Strong attention to detail.
Team player and ability to work closely with partners.
0-3 years experience in finance industry

Responsibilities

Generate counterparty exposure reports for senior management.
Perform quantitative analysis of counterparty exposure such as initial margin, potential future exposure
Monitor counterparty exposure on an ongoing basis
Responsible for exposure and portfolio management of counterparties and effective management of risk in derivative transactions.
Conduct what-if analysis on new transactions and counterparty portfolio.
Automate labor intensive tasks to enhance efficiency and streamline processes
Play a key role in executing ongoing improvements in data quality and reporting infrastructure.
Support new initiatives and projects to enhance portfolio management and exposure management.