Job Title: RSK-Model Validation Group
Nomura Overview:
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 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.
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.
Position Specifications:
Corporate Title |
Associate |
Functional Title |
Associate / Senior Associate |
Experience |
2 - 4 years |
Qualification |
Bachelor’s / Master’s degree in a quantitative field |
Requisition No. |
10792 |
Role & Responsibilities:
Role
The selected candidate will assess models used for each of the following stages in CCR calculations:
- Simulation of market factors (e.g. interest rates, FX rates etc.) using stochastic calculus models
- Pricing of derivatives (e.g. swaptions, FX options etc.) from simulated market factor scenarios
- Calculation of counterparty exposure from future price scenarios in the presence of netting and collateral
Responsibilities
Lead Independent Validation:
- Manage end-to-end validation of CCR models, including Monte Carlo exposure simulation engines, netting and collateral models, CVA/XVA pricing engines.
- Challenge modelling assumptions, mathematical frameworks, calibration, and stress testing approaches.
- Review model documentation, coding standards, and implementation testing (including independent replication or benchmarking as needed).
Stakeholder Engagement:
- Communicate validation findings to model owners, governance committees, and senior management.
- Influence model risk policy and contribute to model governance frameworks.
Documentation and Governance:
- Deliver high-quality model validation reports and executive summaries aligned with internal policy and regulatory guidance (e.g., Basel III, CRD IV, PRA SS 1/23).
- Ensure models are appropriately categorized and inventoried within the bank's Model Risk Management framework.
Mentorship and Oversight:
- Provide technical guidance to junior validators and support their development.
- Lead peer reviews and contribute to continuous improvement of validation standards.
Ongoing Monitoring and Risk Review:
- Periodic review of model performance and validation of model changes.
- Contribute to risk committees and raise controls on model limitations and assumptions.
Mind Set:
|
Mandatory |
Desired |
Domain |
|
Exposure to AI, ML techniques |
Technical |
|
|
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.