Model Risk Governance and Validation Manager

POSITION SUMMARY: The model risk management team at Mizuho Americas is looking for a senior model risk professionals for leading of model governance activities across all of Bank’s models as well as validation of Bank’s valuation/risk management/revenue and balance sheet projection models. PRINCIPAL DUTIES AND

POSITION SUMMARY:

The model risk management team at Mizuho Americas is looking for a senior model risk professionals for leading of model governance activities across all of Bank’s models as well as validation of Bank’s valuation/risk management/revenue and balance sheet projection models.

PRINCIPAL DUTIES AND RESPONSIBILITIES:

1.) General:

The primary responsibilities of this role include:

  • Implement and maintain model governance processes for all of Mizuho models in compliance with MUSO Model Risk Management Policy – including model inventory, model certification, annual model review, on-going model performance review.
  • Ensure that all Model Risk Management Policy requirements are being met in on-boarding of new models as well as changes to existing models.
  • Provide independent review and validation of a variety of valuation, risk, and PPNR models,
  • 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,
  • Independently assess model assumptions and limitations,
  • Verbally communicate validation results and discuss issues, challenges and methodologies with internal audiences including senior management,
  • Own and track the corrective action plan for models and ensure that they are closed appropriately,
  • Engage in the entire model lifecycle and describe and support model validation outcome during model approval process.

2.) Policy:

  • Comply with the Mizuho Americas Model Risk Management Policy. Establish and maintain procedures regarding operation of Bank’s models.

MINIMUM JOB REQUIREMENTS OR EXPERIENCE:

Technical Skills (Essential):

  • Strong understanding of supervisory guidance on Model Risk Management (SR 11-7).
  • Advanced degree in a quantitative discipline (e.g., Mathematics, Physics, Finance or Engineering).
  • Knowledge of models used in two or more of these areas - derivative pricing, market risk (VaR/ expected shortfall), counterparty credit risk (PD/LGD/EAD), liquidity or operational risk.
  • 5+ years of work experience performing model validation or model development of Pricing, Risk or PPNR models,
  • Knowledge of Excel/Access/VBA and MS-SQL
  • Very strong technical writing skills.

Technical Skills (Desirable):

  • Extensive knowledge of stochastic calculus and statistical analysis,
  • Strong programming and database skills, including:
  • - Programming in MATLAB/R/SAS or C++,
  • - Ability to understand and debug the existing model code in the above programming languages and to develop benchmark models,
  • - Understand of database technology with respect to MS-SQL database, and proficiency with writing queries and stored procedures.

Other:

  • 3 or more years of relevant work experience at financial institution.

Mizuho Bank Ltd. offers a competitive total rewards package.

We are an EEO/AA Employer - M/F/Disability/Veteran.

We participate in the E-Verify program.

We maintain a drug-free workplace and perform pre-employment substance abuse testing.





About Us

Mizuho Americas is a leading financial institution that offers clients award-winning strategic and creative solutions in corporate and investment banking, financing, securities, treasury services, asset management, research and more. We have experts in offices throughout the US, Canada, Mexico, Brazil and Chile. Our operations in the Americas connect our broad client base of major corporations, financial institutions and public sector entities to local markets and the vast global network of our parent company—Mizuho Financial Group.

Mizuho Financial Group is one of the largest financial institutions in the world, offering comprehensive financial and strategic services including private banking and venture capital through its subsidiaries. Based in Japan, the group has over 56,000 professionals working in 920 offices in nearly 40 countries throughout Asia, EMEA, and the Americas. As of March 31, 2016 its total assets were $1.8 trillion.

Mizuho Bank Ltd. offers a competitive total rewards package.

We are an EEO/AA Employer - M/F/Disability/Veteran.

We maintain a drug-free workplace and perform pre-employment substance abuse testing.