Market Risk, European Credit & XVA - Vice President

Role Summary

This is a VP-level position within the Mizuho EMEA Market Risk team, with dedicated coverage of the European Credit trading businesses and XVA. The role sits within a team of five market risk professionals led by the Head of Market Risk EMEA, and offers significant exposure to a broad set of credit products, derivatives, and cross-asset valuation adjustment frameworks. The successful candidate will be the primary market risk point of contact for the Credit trading desks – spanning Flow Credit, Structured Credit and related financing activities – as well as holding technical ownership of the XVA risk framework. This is an excellent opportunity for an experienced market risk professional to deepen their expertise in a growing, internationally connected institution at a pivotal point in its EMEA build-out.

Key Responsibilities

European Credit Risk Coverage

• Closely observe relevant market developments across credit and macro markets, critically review risks in Credit Trading, Loans and XVA portfolio and provide value-added challenge on risk positioning in forward looking market context.
• Provide independent daily market risk oversight for European credit trading businesses, including Flow Corporates, Flow Financials, Cross-Over Credit, Emerging Markets Credit, ETF trading and Credit Loans.
• Monitor and analyse credit spread sensitivities (CS01, CS10%) and issuer concentration risks across the credit portfolio.
• Produce daily P&L attribution and risk commentary, identifying material drivers and escalating anomalies to the Head of Market Risk and relevant trading management.
• Maintain and enhance limit frameworks for credit businesses, ensuring limits reflect current portfolio composition, business strategy and regulatory expectations.
• Assess risk on new credit instruments and structured products as part of the New Product Working Group process; provide independent risk opinion on product proposals.
• Collaborate with credit trading and Structured Financing team on hedging solutions and client-facing risk analysis where market risk input is required.

XVA Risk Management

• Act as the primary market risk owner for XVA exposures including CVA and FVA across Mizuho International and Mizuho Bank EMEA entities.
• Maintain the XVA risk measurement framework, ensuring exposure methodologies, simulation models and sensitivities are fit for purpose and aligned with regulatory and internal standards.
• Monitor XVA Greeks and ensure appropriate limit coverage and escalation procedures are in place.
• Liaise with the XVA trading desk, Risk Analytics and Finance to ensure consistency of XVA valuation, risk decomposition and P&L across systems.
• Support the CVA capital framework (SA-CVA) under CRR2/CRR3, contributing to regulatory reporting and internal capital assessments.
• Proactively identify XVA op model limitations and contribute to process enhancements in collaboration with XVA trading and Risk Analytics.

Stress Testing – Technical Leadership

• Serve as the technical lead for stress testing across the Credit and XVA portfolios, designing and executing scenario analysis, historical stress tests and reverse stress tests.
• Develop and maintain a library of credit-specific stress scenarios, including sovereign spread widening, issuer default clusters, correlation breakdown and liquidity stress events.
• Lead the XVA stress testing programme, designing counterparty credit quality deterioration, wrong-way risk and funding stress scenarios.
• Contribute to firm-wide stress testing exercises including ICAAP, regulatory stress tests and ad hoc risk appetite assessments, providing technical input and results analysis.
• Prepare clear, concise stress testing outputs and commentary for submission to the Stress Testing Committee, Market Model & Methodology Committee and other senior governance forums.
• Drive continuous improvement of stress testing methodologies and infrastructure, engaging with technology and quantitative teams to automate and enhance scenario delivery.

Governance & Stakeholder Engagement

• Prepare and present risk reports and analysis for management sub-committees and committees including the EMEA Risk Management Committee and Stress Testing Committee.
• Engage proactively with PRA supervisors and internal audit on matters relating to credit and XVA risk, providing clear and technically credible responses.
• Support the Head of Market Risk EMEA in the delivery of regulatory submissions and internal risk reporting obligations.
• Work closely with counterparts in Tokyo-based parent risk functions, ensuring EMEA credit and XVA risk is accurately and transparently represented at group level.

Experience & Qualifications

• Proven experience in market risk management within an investment bank, with a focus on credit products and/or XVA.
• Strong technical knowledge of credit derivatives (CDS, CDX, iTraxx, TRS, CLOs) and related valuation and risk methodologies.
• Demonstrable expertise in XVA – including CVA/DVA/FVA methodologies, exposure simulation and regulatory capital treatment (SA-CVA)
• Hands‑on experience designing and executing stress tests across credit and derivatives portfolios; technical ownership of scenario design is strongly preferred.
• Familiarity with CRR2/CRR3 and FRTB frameworks as they relate to credit and counterparty credit risk capital.
• Experience with risk systems and quantitative tools; proficiency in Python or similar analytical languages is an advantage.
• Relevant academic background in a quantitative discipline (Mathematics, Physics, Finance, Engineering or equivalent); CFA, FRM or PRM is advantageous.

What Mizuho Can Offer You

Here at Mizuho, there are fantastic progression opportunities and clear paths to promotion. We will give you ample opportunity to affect change and to help grow our business. In addition to the great opportunity outlined above we are also currently able to offer:

• Competitive starting salary, plus discretionary bonus
• Non-contributory pension
• 27 days’ annual leave
• Core working hours*
• Hybrid working - office and home based*
• Virtual GP
• Wellbeing benefits, including Mental Health Allies and First Aiders
• For applicable roles only

At Mizuho, we embrace flexible ways of working when the role permits.

We offer different working arrangements like part-time, job-sharing and hybrid (office and home) working. Our purpose-led culture and global infrastructure help us connect, collaborate, and work together in agile ways to meet all our business needs.

At Mizuho we are committed to supporting equality, diversity and equality, and seek to create a workplace that is fully inclusive.

We welcome applications from all sections of the community that we operate in and from all ethnic backgrounds, sexual orientation, beliefs, gender identities and disabilities.

If you require more information about our equal opportunities policy or wish to discuss any accessibility requirements or reasonable adjustments please contact the recruitment team – and we will be happy to help.

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