Job
Description
Nomura is a global financial services group with an integrated network spanning approximately 30 countries and regions. By connecting markets East & West, Nomura services the needs of individuals, institutions, corporates and governments through its three business divisions: Wealth Management, Investment Management, and Wholesale (Global Markets and Investment Banking). Founded in 1925, the firm is built on a tradition of disciplined entrepreneurship, serving clients with creative solutions and considered thought leadership. For further information about Nomura, visit www.nomura.com . Nomura Services, India supports the group s global businesses. With worldclass capabilities in trading support, research, information technology, financial control, operations, risk management and legal support, the firm plays a key role in facilitating the group s global operations. At Nomura, creating an inclusive workplace is a priority. Our approach to inclusion encompasses a variety of initiatives, including sensitization campaigns, implementing conducive policies & programs, providing infrastructure support and engaging in community events. Over time, we have made meaningful progress in these areas, and this commitment has been wellrecognized across the industry. We are proud recipients of the prestigious Top 10 Employers award by the India Workplace Equality Index (IWEI), IWEI Gold Employer of Choice awards, India CSR Leadership Award 2024 for Holistic Village Development Program and the YUVA Unstoppable Changemaker Awards. Divisional Overview: The Risk Management Division encompasses the firms comprehensive risk framework responsible for determining and managing the overall risk appetite for the firm. The division is responsible for effectively managing the firms riskreturn profile which ensures the efficient deployment of the firms capital. It is one of the firms core competencies and is independent of the trading areas and operational areas. The Risk Management Division in India comprises: Market Risk Management Credit Risk Management Risk Methodology Model Validation Business Unit Overview: Model Validation: The Model Validation Group (MVG) is globally responsible for independently validating the integrity and comprehensiveness of Risk Models and Valuation Models in the firm. MVG also develops measures of Model Risk, monitoring Model Risk vs. the firm s Model Risk Appetite and escalates model approval breaches. The current position is in Risk Model Validation space. The models covered could range across Regulatory Capital Models (FRTB IMA and SA, Basel 2.5) Economic Risk Models Stress Testing Trading Winddown Position Specifications: Corporate Title Analyst/Associate Functional Title Analyst/Senior Analyst/Associate/Senior Associate Experience 15 years Qualification Grad/PostGrad/Phd in a highly quantitative field Role & Responsibilities: Review internally and externally developed Risk Models across the below categories Regulatory Capital Models (FRTB IMA and SA, Basel 2.5) Economic Risk Models Stress Testing Trading Winddown Validations would include reviewing the theoretical assumptions and the implementation of the model e.g. setting up independent benchmarking tools for testing of various scenarios & boundary conditions for complex models. Model Risk Analysis Preparation of model review documentation MindSet: Mandatory Domain Qualification, Experience & Skills: Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and comfort level with one / more programming languages is expected Familiarity with econometrics or general statistics is desirable General financial products knowledge In particular, we are looking for candidates with prior knowledge / experience in one or more of the following areas: a. Risk Models: Value at Risk, Counterparty Risk Exposure models, Margin Models b. Stress Testing models c. Interest Rate: Libor Market Model, HJM, Models of the shortrate d. Equity: Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.) e. Credit: Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation f. FX: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)
