Model Risk Management, Associate/AVP

The Mizuho Americas Model Risk Management team 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 Model Validation Senior Associate/AVP. The employee will work within the Model Risk Management Group and will perform model validation of the Bank's capital and risk management models.

Responsibilities

• Provide independent review and validation of a variety of capital, risk, margin and other 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; 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.

Qualifications

• 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.
• Minimum 1-3 years of Financial Services experience performing one of the following; model validation, model development, risk management or related fields.
• Strong oral communication and technical writing skills.
• Strong programming and database skills.
• Understanding of SR 11-7 guidance on model risk management.

The expected base salary ranges from $90,000.00 -$150,000.00. Salary offers are based on a wide range of factors including relevant skills, training, experience, education, and, where applicable, certifications and licenses obtained. Market and organizational factors are also considered. In addition to salary and a generous employee benefits package, successful candidates are eligible to receive a discretionary bonus.

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