Job #: 2962

Title: Credit Risk Analyst

Region:

  • New York City, NY
  • Job Type:

  • Contract
  • Contract Pay Rate:
  • $50-75
    • Anywhere
    • Posted 2 months ago

    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.
    Skills:
    Responsibilities

    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.

    Qualifications
    Experience requirements:
    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.

     

     

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