VP Model Risk / Validation

Mizuho•New York City, NY

16d•Hybrid

About The Position

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.

Requirements

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

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