Job Title: RSK-Model Validation Group

Job Code: 6511

Country: IN

City: Mumbai

Skill Category: Risk

Description:

Nomura Overview:

“Nomura is an Asia-headquartered financial services group with an integrated global network spanning over 30 countries. By ‘Connecting Markets East & West’, Nomura services the needs of individuals, institutions, corporates and governments through its three business divisions: Retail, Asset 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, (Powai) supports Nomura’s businesses around the world. Powai’ s world class capabilities in trading support, research, information technology, financial control, operations, risk management and legal support have played a key role in facilitating Nomura’s global operations and are an integral part of Nomura’s global expansion plans. The Powai operation is a critical part of the platform to support the growth of Nomura’s global business.

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 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	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

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

Preparation of model review documentation

Model risk analysis

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, Dask, sci-kit-learn and PyTorch.

Strong unit test and debugging skills

Basic understanding of market risk models – Value at Risk, Counterparty Credit Risk models, FRTB.

Good written communication in English

Desirable:

Experience in modern C++ / C# - (Dotnet core / Blazor / Entity Framework)

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

VSCode / Visual Studio knowledge.