Job Title: RSK-Model Validation Group

Job Code: 7959

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:

Quantitative Risk Management- Model Validation:

The Model Validation Group is a global team which validates and documents all in-house trading and risk models across all divisions and geographical locations. The Model Validation Group works closely with both the front office quantitative research teams and product control and the role consequently offers significant exposure to Pricing and Risk management models/ methodologies. The current position will focus mainly on validation of Treasury models.

Treasury Risk Model Validation:

As a Treasury Models Validation member you’ll be the validator for Treasury Risk models used internally. The coverage is global. The role will combine your qualitative and quantitative skills to work with the lead validator to correctly identify key issues & viable remediation actions and communicate results at different forums with exposure to senior stakeholders. You will be responsible to ensure that model risk is appropriately managed according to the Bank’s Model Risk Policy and Standards and comply with regulatory requirements. The role sits within a team where knowledge sharing is highly promoted.

Position Specifications:

Corporate Title	Analyst/Associate
Functional Title	Analyst/Associate
Experience	1-4 years
Qualification	Grad/PostGrad in a quantitative field
Requisition No.

Role & Responsibilities:

Develop detailed knowledge and understanding of Internal Policies and Standards to assess Model risk – Validation Procedures, Validation Document, and Development Procedures etc.
Develop detailed knowledge of Regulatory Model Validation policies
Validate models – Check data quality, Model methodology, Model assumptions & limitations, Model conceptual soundness, Model implementation, Model risk analysis
Ensure that the model meets its stated objective
Create a challenging model to support Validation Results. Challenge the existing models
Engage with model owners as well as business and development experts to ensure the liquidity positions are effectively challenged and model risk is properly addressed
Ensure that Development documents follow standard procedures, where necessary show them direction on approach
Create Model validation documents, get agreement from stakeholders on your conclusions
Suggest list of actions to be taken to remediate the model risk where they exist
Develop an independent view on the model methodology and challenge the assumptions where necessary.
Work closely with Development team to understand their rational
Maintain document repository in Model Database
Perform Model Performance Monitoring
This current role will look mainly into validation of Treasury models – for both Funding, Liquidity and cover all Items from on & off Balance sheet.

Key Skills:

Mandatory

Domain

Qualification, Experience & Skills:

A degree in quantitative subject (e.g. Math, Engineering, Statistics, Economics with quantitative minor; or equivalent
Basic understanding of Balance sheet items, ALM
Relevant work experience, preferably in liquidity risk model development or model validation.
Sound knowledge of treasury business, credit risk and credit rating models would be an asset.
Basic understanding of Liquidity & Funding management
Basic knowledge & understanding of the relevant regulatory landscape like Basel 3 requirements as they apply to liquidity risks, ILAAP, LCR, NSFR etc.
Knowledge of Treasury instruments, relevant pricing models and both explicit and implicit embedded risks in them
Experience with behavioural modelling
Basic exposure to a major programming language (e.g. python) and coding
Highly organised in terms of documentation and follow through
Ability to communicate and influence effectively
Ability to organize & plan
Good written communication in English
Strong critical thinking skills and demonstrated ability to produce clear, concise written reports