Exposure Management VP / Director

Mizuho•New York, NY

4d•Hybrid

About The Position

Mizuho Americas is seeking a senior VP or Director in its Exposure Management (EM) function, reporting to EM lead, under the Credit Risk Management hierarchy. 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: regulatory margin (SIMM model and its ongoing monitoring), PFE and EAD modelling, VaR modelling, portfolio risk analysis, sensitivity analysis, scenario analysis, stress testing, wrong way risk 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.

Requirements

8-10+ 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

Responsibilities

Oversee the performance of the regulatory required SIMM model and improve existing processes
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