Market Risk Analytics, Equity - Director at Mizuho Americas Services LLC in New York, New York

Job Description:

Summary

As a Director of Quantitative Market Risk Analytics, you will actively participate in the development of methodologies and in management of analytics for value-at-risk with a strong focus on Equity. Candidate will join the Risk Analytics group that partakes in the complete life cycle of model development: from methodology inception and design to local implementation and validation. You will also provide analysis and feedback on changes to or introduction of new models at the firm. More specifically the director will be involved in risk analytics initiatives and development pertaining to Equity products including derivatives and structured products.

Responsibilities

• Develop, test, implement and document risk analytics for new products


• Lead the enhancement of infrastructure to implement new risk analytics models including controls to monitor their performance


• Perform quantitative research to implement model changes, enhancements and remediation plans


• Work with stakeholders across business and functional teams during model development process


• Create tools and dashboards which can enhance and improve the risk analysis


• Conduct analysis on existing model short-comings and design remediation plans


• Maintain, update, improve and back-test risk models


• Analysis and governance of historical time series data


• Identify risk not captured by analytics, develop and implement methodology to quantify the materiality, and design strategic plan to better integrate and manage such risk

Qualifications

• Master's degree in a quantitative field preferred


• Extensive experience in Equity Value-at-Risk


• Expertise with time series modeling applied to Equity markets


• Knowledge of pricing and risk models for financial derivatives


• Strong analytical skills required to understand quantitative models


• Strong project, management and organizational skills


• Strong writing and presentation skills


• Proficient programming skills in python and database expertise


• Ability to manage and analyze large data sets

The expected base salary ranges from $170,000 - $235,000 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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