VP Model Risk / Validation

Mizuho Financial group • New York, NY

29d • 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

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
• Industry: Credit Intermediation and Related Activities
• Number of Employees: 5,001-10,000 employees