RSK-Model Validation Group

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 Validation

 

Business Unit Overview:

Model Validation:

The Model Validation Group (MVG) is globally responsible for independently validating the appropriateness, integrity and comprehensiveness of different models used in the firm. These include Risk Models, Valuation Models, IPV models, Liquidity models and Algo trading models in the firm.

 

The current opening is for a Model Validation quant developer role to help with the day to day responsibilities of the group, and to development of a library for the automation of running analytical tests, feeding into model review reports, monitoring of model performance, and to provide a reporting layer for the wider bank. In addition the role will also work on model validation for Risk Models (Market Risk Models like FRTB).

 

 

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.

 

Position Specifications:

 

Corporate Title

Analyst/Associate

Functional Title

Senior Analyst/Associate

Experience

1-4 years

Qualification

Grad/PostGrad with a strong degree in quantitative/ engineering domain or PGDM Finance

 

Role & Responsibilities:

• Development of group wide analytical, testing and reporting library in Python, including incorporating AI workflows.

 

• Help with designing and implementation of tests to challenge the theoretical assumptions and the implementation of the models (includes market risk models like FRTB capital models), including benchmarking, back-testing, scenario analysis and edge conditions.

 

• Ensure that the models meet their stated objectives.

 

• Modernise the preparation of model review documentation using Python scripts

 

• Help in writing systems to store performance metrics for the bank’s models

 

Key Skills:

 

 

 

Requirements

Domain

 

Required Qualification, Experience & Skills:

 

• Very experienced, and deep understanding of Python including procedural and functional programming styles. Experience with managing different Python environments.

 

• In-depth understanding of the Python software development stacks, ecosystems, frameworks and tools such as Numpy, Scipy, Pandas, Matplotlib, sci-kit-learn PyTorch.and SQLAlchemy

 

• Strong unit test and debugging skills

 

• Basic understanding of risk models e.g. Value at Risk, Counterparty Credit Risk models, FRTB or derivative pricing

 

• Good written communication in English

 

Desirable:

 

• Experience with a reporting tool e.g. PowerBI

 

• Basic understanding of financial products, and their pricing e.g. Monte Carlo / Finite Difference etc.

 

• Experience with SQL

 

• Experience with VSCode and Github copilot

 

• Knowledge of programming AI tools in Python

 

• Experience with the Python Flask framework

 

• Any C# knowledge

 

 

 

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).