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Liquidity and Stress Risk Manager

Mizuho

London, United Kingdom

Key Responsibilities

Take active part in ensuring an appropriate Liquidity and Stress Risk Management approach is in place with Mizuho International which, as a minimum, meets the relevant core principles and any other regulatory expectations levied on MHI.
Active involvement in Intra-day liquidity risk management liaising closely with Treasury and Operations team.
Continually review the Liquidity risk management framework, assist with identification and development of appropriate risk metrics, limits and stresses, and take an active part in the development of a suitable technology framework to embed them in.
Assist with liquidity and market risk stress testing methodology and production, review stress testing results and develop reporting of the results.
Assist in reviews of current overall risk framework and implement change as appropriate in consideration of MHI’s business plans.
Participate in Bank initiatives to review the system infrastructure, to ensure it will provide a robust risk framework for the approved model set.
Work with the wider Risk Management team to produce periodic commentaries and explain of exposure moves (daily; weekly; monthly; quarterly) that link risk, PnL and market information to Market, Counterparty, Issuer risks and Stress Testing results.
Assist in identifying and communicating top risks to wider Risk team, Finance and the business, including risk factors from BAU activity to ad hoc business requests.
Appropriate input and challenge of ILAA, ICAAP, RRP document and supporting metrics

Experience and Skills required

Detailed knowledge of liquidity risk and stress testing measurement methodology techniques and the ability to assess the most appropriate for our business is also essential.
Ability to communicate at all levels and deliver technical explanations to the lay-man as well as the practitioner.
Ability to assimilate large amounts of data and transform into consumable information.
Knowledge of Liquidity related regulatory rules and requirements
Working knowledge of LMM, LCR, NSFR and Leverage Ratio
Working knowledge of Intraday Liquidity Management
Intermediate levels of Excel (including VBA), PowerPoint and Word
Knowledge of VaR and Expected Shortfall

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