Market Risk, European Credit & XVA - Vice President

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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

• 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, CS 10%) 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.
• 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 counter party 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…