Risk, Model Validation Quant, AVP

1 month ago

London Area, United Kingdom Mizuho Full time

Who are we?

We are not your typical financial institution. It's our people who make us a cut above. Here, every person is respected because of their differences, not in spite of them.

We pride ourselves on a culture of purpose, passion and compassion. At Mizuho, we provide the stability of an international industry leader with the career trajectory of a growing business. Our steady, strategic growth gives our people at all levels rewarding degrees of responsibility and a richer work experience than a boutique firm or an established giant could offer alone.

Working for Mizuho opens doors not just to a rewarding career with excellent prospects, but to lasting friendships with colleagues from diverse cultures. It's the local expertise of our employees that makes our global network so powerful. By collaborating with colleagues and clients who have your same ambition, you can amplify your sphere of influence and base of knowledge as part of one of the largest-and growing-banks in the world.

What is the opportunity?

The Quantitative Risk team (QR) is part of the EMEA Risk Management team. The QR team is split into the Model Risk Management team (MR) and the Risk Analytics team (RA). MR and RA teams span both MHBK and MHI responsibilities. The Quantitative Risk Analyst role sits within the Model Risk Management team (MR).

On the MHBK and MHI sides, the MR team are responsible for producing independent and accurate model validations and conducting effective model risk management, including appropriate interactions with the trading desk and the overall risk management teams.

The MR team is responsible for recording the MHI model life cycle in Archer Model Risk Management system of record.

The EMEA MR team works in collaboration with the MHSC MR and MHSC RA teams (based in Tokyo) on model implementation, assumption and validation topics.

The EMEA MR team works also in collaboration with the MHEU Risk Management department on model governance request, and on MHI/MHEU models used in both entities. The remit of the EMEA MR team for model validation covers MHI and MHBK LDN as well as Mizuho Bank Europe (MBE).

The EMEA MR team participates and produces materials for the monthly MMMRC (Methodology, Market and Model Risk Committee) meeting.

The EMEA MR team interacts actively with the EMEA RA team mainly on model implementation and model changes.

Working in a small quantitative team with a Risk function, this is a broad quantitative role and requires an individual with the diversity of skills to contribute to all relevant quantitative aspects of Market Risk and derivatives Valuations.

What will you be doing?

• Support the Head of Model Risk Management in MR related activities.

• Produce independent and accurate model validation analysis and documentation

• Update and maintain the Archer model risk management system of record

• Participate and produce material for the MMMRC meeting

• Work closely with the RA team

• To work on projects impacting the valuation and risk calculations of the MHBK and MHI Treasury, structured and derivatives positions.

• To provide subject matter expertise in quantitative issues and projects, particularly pertaining to valuation, risk calculations and financial modelling for IR, FX and Inflation derivatives across MHBK and MHI.

• Develop, implement and support new and existing in-house financial analytical models and libraries

• Building Python and VBA script to automate the model revalidation process

• Work closely with teams such as European Valuations and Risk Systems Engineering function to ensure the effective and accurate implementation of technical and quantitative solutions.

• Use of quantitative and programming expertise for ad-hoc assistance and support of issues and projects within the combined MHI and MHBK Risk functions.

• Challenge appropriateness of existing valuation models and approaches and assist in the validation of new models in new systems or products being introduced.

• Support the correct configuration of valuation and risk data, models and systems to ensure accurate and robust results.

• Work with external departments (e.g. Front Office, IT, EMEA Risk Management teams) on joint projects and initiatives.

• Provide theoretical and technical documentation related to the models and systems

• Provide crossed training to other team members of the QR teams

• Provide periodic model monitoring and review reports

What do you need to succeed?

• Strong academic background: educated to at least Masters degree level in a quantitative subject, preferably Maths, Physics, Engineering or Finance. Relevant professional qualifications / experience will also be considered.

• Experience in Model Validation and Model life-cycle management.

• Experience / knowledge of financial markets, products, methodologies and financial analytics including an understanding of the key concepts of IR, FX and Inflation curve building, derivative instrument pricing & risk and XVA.

• Experience / knowledge of option pricing techniques including normal and log-normal option models, path dependent option models and SABR.

• Experience / knowledge of FRTB, IRRBB and Risk Models such as Value-at-Risk (VaR) and Stress methodologies..

• Strong mathematical background covering stochastic calculus, statistics, matrix algebra, optimisation methods and interpolation techniques.

• Object-oriented programming skills. Preferably Python and or C#, although skills in other languages such as C++, Java, VB.net would be considered.

• Expert Excel skills including VBA

• Experience of Microsoft SQL Server and TSQL, or other DBMS

Desirable

• Experience of source code control systems such as Team Foundation server or Git-Hub

• Knowledge / experience in Inflation Derivatives valuation and risk.

What Mizuho can offer you

Here at Mizuho, there are fantastic progression opportunities and clear paths to promotion. We will give you ample opportunity to affect change and to help grow our business.

In addition to the great opportunity outlined above we are also currently able to offer:

  • Competitive starting salary, plus discretionary bonus
  • Non-contributory pension
  • 27 days’ annual leave
  • Core working hours*
  • Hybrid working - office and home based*
  • Virtual GP
  • Wellbeing benefits, including Mental Health Allies and First Aiders

* For applicable roles only

We champion a flexible work environment, as we understand the need for people to meet other commitments or simply strike a good work-life balance. As such, we are happy to talk flexible working for this role such as reduced working hours. The role will also include homeworking.

At Mizuho we are committed to supporting inclusion, equity and diversity, and seek to create a workplace that is fully inclusive. We welcome applications from all sections of the community that we operate in and from all ethnic backgrounds, sexual orientation, beliefs, gender identities and disabilities.

If you require more information about our equal opportunities policy or wish to discuss any accessibility requirements or reasonable adjustments please contact the recruitment team - recruitment@mhcb.co.uk and we will be happy to help.

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