Job #: 2962
Title: Credit Risk Analyst
Exposure Management is in charge of the counterparty credit risk measurement and uses the PFE model (IMM Monte Carlo Engine) owned by Market Risk that is used for derivative exposure calculation such as Interest Rate Swaps, Equity Derivatives and Credit Derivatives. Exposure Management does not have credit authority, nor perform obligor analysis.
Coordinate the UAT testing for enhancements on EPE Engine and communicate the test details with IT team.
New product – Exotic FX, Equity Derivatives Products
What-If Scenario testing and decommission on existing platform
Enhancement of Counterparty Risk Exposure Reports, such as monthly EAD report and conduct UAT testing.
Coordinate UAT testing efforts with Technology for various initiatives other than EPE Engine.
Mizuho Bank System migration (from Add On methodology to Monte Carlo) and testing of various reports
Enhancements of existing reports upon system migration.
Migration of on-boarding platform (from current entity-base platform to Mizuho-wide system), user testing.
Other duties as assigned and assist initiatives under Exposure Management.
At least three to four years of credit risk or market risk experience with experience in IMM Model and EPE calculation.
Knowledge of OTC Derivatives Products.
Good analytical skills
Ability to work independently.
Bachelors required. Advanced degrees are preferred.