Internal Auditor Risk Management Model Risk, (Finance)
About the Team
The Internal Audit Department Americas (IADA) provides internal audit services to the branches, representative offices and agencies of Mizuho Bank, Ltd. in the Americas, and to Mizuho Bank (USA) and related subsidiaries. IADA's mission is to act as an independent, objective assurance and consulting function, designed to add value and improve Mizuho Bank's U.S. operations including derivative activities, broker dealer and swap dealer businesses. Based in the New York Metro area, IADA staff members perform various audits of different business areas of the bank to evaluate the effectiveness of risk management and governance processes. Along with its counterparts in London, Hong Kong and Singapore, IADA reports to and composes the overseas arm of MHBK's Internal Audit Division (IAD).
SUMMARY:
The Risk Management Audit Team is looking for a VP level candidate to perform third line reviews of model and model documentation to evaluate the robustness of the documentation and the level of independent validation by the first and second line related functions.
This role is hybrid and based in our New York City office
PRINCIPAL DUTIES AND RESPONSIBILITIES:
The primary responsibilities of the VP- Model Validation include:
- Provide independent third line review of a variety of pricing, risk, margin and other models as applicable
- Evaluate the model documentation based on various aspects including - model data and parameters, design and methodology, implementation and model documentation.
- Ensure compliance with the Mizuho Americas Model Risk Management Policy and applicable regulatory guidelines such as SR 11-7
- Document third line work in compliance with the Internal Audit Manual.
- Evaluate the first and second line documentation and either perform or ascertain that the necessary challenge and evaluations were adequately completed and properly documented.
- Assess model assumptions and limitations.
- Communicate results and discuss issues, challenges and methodologies with internal audiences including senior management.
Technical Skills (Essential)
- Advanced degree in quantitative discipline (preferably Engineering, Quant Finance or Physics).
- Knowledge of derivatives pricing theory across one or more asset classes (IR/FX/Credit/Equity), traded products and market/credit risks. Knowledge of stress testing methodology of trading and banking portfolios for market, credit and liquidity is a plus.
- Minimum of 5 - 7 years of work experience performing one of the following- model validation, model development, risk management or related fields.
- Strong oral communication and technical writing skills.
Technical Skills (Desirable)
- Understanding of statistical analysis,
- Understanding of SR 11-7 guidance on model risk management,
- Familiarity with vendor pricing platforms such as MUREX, Polypath, Bloomberg etc.
- Good Programming and database skills
MINIMUM JOB REQUIREMENTS OR EXPERIENCE :
5 - 7 years of relevant work experience at financial institution.
The expected base salary ranges from $127,000 .00. - $220.000. 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, including but not limited to Medical, Dental and 401k that begin on day one of employment, successful candidates are also eligible to receive a discretionary bonus.
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