Officer, Credit Risk Management
Credit Risk Management Unit (CRMU) within Risk Management Division Americas (RMDA) is seeking a multi-skilled risk analyst with a quantitative background to join the valuation and analytics team. The position is based in New York and provides the opportunity to acquire a firm-wide perspective of Mizuho’s business in the Americas.
Principal Duties and Responsibilities: This role encompasses activities associated with fair value calculation, risk monitoring and quantitative analytics.
Fair Value Calculation:
This roll will be responsible for the pricing of credit investment and trading products such as asset backed securities, collateralized debt obligations, credit derivatives, and leveraged loans. Prices that CRMU reports will be used for both managerial and financial accounting purposes. Successful candidates will therefore need to be highly disciplined and must be able to pay attention to details.
- Closely work with Front Office (FO), Back Office (BO) and Accounting Unit to ensure the completeness, accuracy, and reasonableness of fair values.
- Prepare documents for Accounting Unit and collect data to comply with SOX requirements.
- Keep abreast of regulation changes and adhere to both internal policies and regulations (i.e. Dodd-Frank, FAS 115, FAS 133, FAS 144, FAS 157/Topic 820, IFRS, SOX).
- Review existing valuation models and suggest and/or implement new approaches as necessary.
Risk Monitoring: Risk monitoring will center on the daily valuation and periodic risk analysis of assets that are classified as either trading or available–for-sale (AFS).
- Collaborate with FO, BO and IT to design effective reporting systems.
- Report exposure, PL, Value-at-Risk, sensitivities (i.e. CR01, DV01), etc. on a daily basis.
- Analyze factors that drive the valuation risk and conduct stress testing and price verification.
- Deliver robust, flexible solutions in a quick response to changing or new reporting requirements.
Quantitative Analytics: This role will be also responsible for quantitatate research and model development. Projects vary from model parameter estimation to the development of portfolio analytics tools. Successful candidates will be result-oriented and delivery-focused.
- Collaborate with FO and Portfolio Management Division to optimize Mizuho’s portfolios.
- Understand complex data structures and efficiently carry out large-scale data mining.
- Work with other members to design theoretically sound and empirically tested approaches.
- Create high quality presentations for senior management to share portfolio performances.
Required Experiences and Skills
- Must have a Bachelor’s degree in a quantitative discipline such as economics, engineering, mathematics, physics, quantitative finance, and statistics. Emphasis on data mining and/or optimization is a plus.
- A minimum of one to three years experiences in the financial service industry, preferably in credit and banking products. Familiarity with DCF and risk-neutral pricing is a must.
- Strong computational and analytical capabilities: Candidates will need to be able to run analytics and implement solutions in Excel and VBA (required), high-level computational languages such as R and MATLAB (preferred) and/or object oriented programming languages such as Java and C++ (preferred). Intellectual curiosity for problem solving and an ability to approach problems in a logical and structured fashion are both critical.
- Strong data handling skills: General database knowledge such as Microsoft Access (required) and Oracle PL/SQL (preferred) is required. An ability to distill complex data and present findings in a clear, understandable manner is essential.
Management Responsibilities
The position does not manage any other employees and directly reports to Assistant Vice President who oversees the team of credit risk analysts. The candidate must be a self-starter to proactively look for potential problems and implement solutions with minimum supervision.
Note
This job description is based on existing assignments and is subject to change depending on business conditions and internal staff movements.- Mizuho is a global financial institution, and New York Branch frequently interacts with foreign branches and group companies. While you do not have to be able to speak foreign languages, flexibility and open-mindedness to not only non-U.S. business practice but also Japanese corporate culture are much appreciated.
We are proud to be an EEO/AA employer M/F/D/V. We maintain a drug-free workplace and perform pre-employment substance abuse testing.