The Americas Risk Management Unit is responsible for monitoring, reporting and analyzing risk across the Mizuho U.S Operations. Mizuho seeks a highly motivated individual to serve as an AVP/VP – Portfolio Risk within the Americas Risk Management Unit. The employee will work with the portfolio risk team to support Mizuho's capabilities in developing and enhancing the bank's capital and stress testing framework. The employee is also supposed to play a key role in risk identification, risk monitoring and risk reporting across all risk stripes (market, credit, liquidity, etc.).
Principal Duties and Responsibilities
Liaise with all Mizuho entities (corporate banking, investment banking, broker-dealer and derivatives trading) in the collection and integration of market risk data.
Perform quantitative analysis to better understand market movement and fluctuation in market risk as measured by P&L, Greeks and VaR.
Conducting statistical analyses to forecast market risk capital.
Work with Principal Risk Managers and business units to develop process for identification of principal risks and related risks in the region.
Work with Principal Risk Managers to develop scenarios for identified risks.
Integrate risk identification process into Risk Appetite and Stress Testing frameworks.
Work with Principal Risk Managers and Risk infrastructure to build out and manage regional Stress Testing Process.
Provide overall effective governance of Stress Testing process.
Support all regional regulatory stress test submissions, inquiries and responses.
Work with Principal Risk Managers and Risk infrastructure to develop and execute appropriate MIS to monitor and report key risks including stress scenarios.
Minimum Job Requirements or Experience
5-10 years' experience in market risk management or other analytical area preferred.
Master degree of either mathematics or finance is preferred.
Good working knowledge of statistical and econometric analysis
High proficiency with market risk management methods, models, pricing, market capital management and quantitative analysis related with: