Job Title:  RSK-Model Validation Group

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 FX and IR models.

Position Specifications:

Role & Responsibilities:

• Ensure that the model meets its stated objective
• This would include reviewing the theoretical assumptions and the implementation of the model - for instance, setting up independent benchmarking tools for testing of various scenarios & boundary conditions of complex models.
• Ensure model suitability in terms of pricing, risk management of in scope products

• Preparation of model review documentation
• Model risk analysis
• Ongoing Model Performance Monitoring
• Validation of Model reserve calculations implemented in Front Office systems

• This current role will look mainly into validation of

•  FX models –local volatility, stochastic volatility, mixture models etc with the numerical methods used being PDEs, Monte Carlo and/or
• IR models –BGM, HJM, QGMF, SABR etc with the numerical methods used being PDEs, trees, Monte Carlo

Mind Set:

Qualification, Experience & Skills:

• Good understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference)
• Competency in one or more major programming languages (C++, python) required (at the very least exposure to procedural programming)
• Knowledge of  elementary algorithms and data structures
• Attention to detail
• Good written communication in English
• In particular, candidate should have worked on derivative modelling/validation in at least one of the below asset class:

a. Interest Rate e.g. Libor Market Model, HJM, Models of the short-rate

b. Equity e.g. Pricing of Exotic Payoffs (like Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston etc.)

c. Credit e.g. Pricing of Credit derivatives, CVA calculation

d. FX e.g. Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)