Model Validation-Model Risk, VP
Division Mizuho Americas Model Risk Team Summary The model risk management team at Mizuho Americas is looking for a VP level candidate to perform model validation of Bank’s valuation/risk management/revenue and balance sheet projection models. Principle Duties and Responsibilities The primary responsibilities of the VP
Mizuho Americas Model Risk Team
The model risk management team at Mizuho Americas is looking for a VP level candidate to perform model validation of Bank’s valuation/risk management/revenue and balance sheet projection models.
Principle Duties and Responsibilities
The primary responsibilities of the VP Model Validation include:
- 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
Technical Skills (Essential)
- 7-10 years of relevant work experience at a bank/financial institution
- 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 Valuation, 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
- Understanding of SR 11-7 guidance on model risk management
- 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
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.
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.