Remote Opportunity

RSK-Model Validation Group

Join Nomura Holdings, inc. as a senior professional working remotely from Worldwide. Explore the role, benefits, and apply in one place.

Full Time
$120,000 - $180,000*
4 months ago
Worldwide
Model Risk Management & Validation
Senior
Model Risk Management
Model Validation
Risk Methodology

Job Description

 

Nomura Overview:

 

 

Nomura is a financial services group with an integrated global network. By connecting markets East & West, Nomura services the needs of individuals, institutions, corporates and governments through its four business divisions: Wealth Management, Investment Management, Wholesale (Global Markets and Investment Banking), and 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 world-class 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 across four international regions.

 

 

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 well-recognized 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 firm's comprehensive risk framework responsible for determining and managing the overall risk appetite for the firm. The division is responsible for effectively managing the firm's risk-return profile which ensures the efficient deployment of the firm's capital. It is one of the firm's 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 Risk Management

 

Business Overview:

 

Model Risk Management is a group within Risk Management headed by the Global Head of Model Risk responsible for:

(1) Executing and maintaining an effective Model Risk management framework.

(2) Producing a consolidated view of Model Risk for comparison with the Model Risk Appetite.

(3) Independently validating the integrity and comprehensiveness of the Models in the Firm.

 

 

What We Offer:

  • We support employee wellbeing by ensuring a sense of purpose and belonging.
  • We offer a comprehensive range of wellbeing services which allows employees to get access to the assistance they need at any point in their wellbeing journey.
  • Our bespoke benefits support employees and their family’s holistic wellbeing and are inclusive of diverse identities and family structures.

The current position is for a Risk Model Validator in Market Risk modelling space. The candidate would be exposed to the below:

  • Advanced Quantitative Expertise: Gain deep exposure to risk modeling techniques
  • Comprehensive Market Risk Domain Knowledge: Develop expertise across major asset classes (Equity, FX, Credit, Commodities, Interest Rates) with hands-on experience in validating models across market and counterparty risk domain
  • Regulatory & Model Validation Excellence: Build specialized knowledge in FRTB IMA & SA validation and interaction with various stakeholders on model approval processes
  • Cross-Functional Interaction Skills: Collaboration with risk methodology quants, risk managers, risk change and Risk IT teams for carrying out validation activities

 

Position Specifications:

 

Corporate Title

Associate

Functional Title

Associate

Experience

2-5 years

Qualification

Grad/PostGrad/Phd in a highly quantitative field

Requisition No.

12705

 

 

 

Role & Responsibilities:

 

The current position is for a Risk Model Validator in Market Risk modelling space. Depending on the Book of Work, the models covered could range across

  • FRTB IMA and SA
  •  Economic Risk Models
  •  Stress Testing
  • B 2.5 Reg Cap

 

Validation tasks would include reviewing the

  • Conceptual soundness and the implementation of the model
  • Model Risk Analysis
  • Preparation of model review documentation
  • Review of Model Performance Monitoring
  • Periodic Reviews of Models

 

 

 

 

 

 

 

 

 

Mind Set:

 

 

Mandatory

Desired

Domain

  • General financial products knowledge like options, futures and bonds
  • Risk Models: Value at Risk, Stress VaR concepts, Backtesting VaR
  • Understanding of derivative’s greeks and pnl calculation methodologies
  • Risk Neutral Option pricing fundamentals
  • Pricing of vanilla options for equity, FX and credit asset classes
  • Understanding of model risk management standard, policy & procedures along with end-to-end model validation processes.
  • Counterparty Risk Exposure models, Margin Models
  • Stress Testing models
  • Interest Rate: Libor Market Model, HJM, Models of the short rate
  • Equity: Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility
  • Models for pricing exotic Equity Derivatives (Heston, Bates etc.)
  • Credit: Pricing of Credit Index Options etc, CVA calculation
  • FX: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)

Technical

  • Basic understanding of stochastic calculus, statistics
  • Good mathematical applications for calculus, linear algebra and probability
  • Numerical techniques for derivatives pricing (Monte Carlo / Finite Difference)
  • Comfort level with one or more programming languages, preferably python
  • Familiarity with end-to-end development for model validation implementation testing and model risk analysis using SQL, Python, Python Flask, Java.
  • Hands on experience with advanced libraries (preferably python) used for pricing simulation-based products and multivariate regression

 

We are committed to providing equal opportunities throughout employment including in the recruitment, training and development of employees. We prohibit discrimination in the workplace whether on grounds of gender, marital or domestic partnership status, pregnancy, carer’s responsibilities, sexual orientation, gender identity, gender expression, race, color, national or ethnic origins, religious belief, disability or age.

 

 

*Applying for this role does not amount to a job offer or create an obligation on Nomura to provide a job offer. The expression "Nomura" refers to Nomura Services India Private Limited together with its affiliates.

 

*The benefits are subject to change and will be in accordance with Company’s policies as may be applicable from time to time).

Requirements

  • Executing and maintaining an effective Model Risk management framework
  • Producing a consolidated view of Model Risk for comparison with the Model Risk Appetite
  • Independently validating the integrity and comprehensiveness of the Models in the Firm
  • Effective communication and collaboration with stakeholders
  • Strong analytical and problem-solving skills
  • Ability to work in a fast-paced environment
  • Strong attention to detail and organizational skills

Benefits

  • Employee Discounts
  • Flexible Hours
  • Gym Membership
  • Health Insurance
  • Home Office Budget
  • Learning Budget
  • Paid Time Off

Skills

Model Risk Management
Model Validation
Risk Methodology

About AI-Estimated Salary

The salary range shown was not provided by the employer. Our AI has estimated it based on the job title, required experience, location, and industry standards (confidence: 80%). This estimate should be used as a general guide only and may not reflect the actual compensation. Always confirm salary details directly with the employer during the application process.

Ready to Apply?

Join Nomura Holdings, inc. today

Salary Range (AI-Estimated)*
$120,000 - $180,000
80% confidence
Posted 4 months ago

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