Market Risk Analytics, VP

Mizuho • New York City, NY

4d • Hybrid

About The Position

Quantitative market risk analytics specialist responsible for developing methodologies and managing analytics for various risk models such as value-at-risk, stress testing, and capital models. Candidate will join the Risk Analytics group that partakes in the complete life cycle of model development: from methodology inception and design to local implementation and validation. The successful candidate will also provide analysis and feedback on changes to or introduction of new models at the firm. More specifically the VP will be responsible for risk analytics initiatives and development pertaining to fixed income and securitized products.

Requirements

• 4-7 years of experience in quantitative modeling for market risk, focused on fixed income and securitized products
• Deep understanding of Value-at-Risk and the OAS framework with a focus on fixed income and securitized products (e.g., agency MBS, etc.)
• Knowledge of pricing and risk models for financial derivatives
• Understanding of prepayment model and its role in MBS valuation
• Strong analytical skills required to understand quantitative models
• Strong project, management and organizational skills
• Strong writing and presentation skills
• Proficient programming skills in python and database expertise
• Ability to manage and analyze large data sets
• Ability to communicate effectively with managers that may not have quantitative backgrounds.

Nice To Haves

• Master’s degree in a quantitative field, such as mathematics or physics, preferred
• Experience with PolyPaths software strongly preferred

Responsibilities

• Develop, test, implement and document risk analytics for new products
• Lead the enhancement of infrastructure to implement new risk analytics models including controls to monitor their performance
• Perform quantitative research to implement model changes, enhancements and remediation plans
• Work with stakeholders across business and functional teams during model development process
• Create tools and dashboards which can enhance and improve risk analysis
• Conduct analysis on existing model short-comings and design remediation plans
• Maintain, update, improve and back-test risk models
• Analysis and governance of historical time series data
• Identify risk not captured by analytics, develop and implement methodology to quantify the materiality, and design strategic plan to better integrate and manage such risk
• Ongoing analytical support of the business

Benefits

• 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.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level