Job Title: RSK-Risk Methodology Group

Job Code: 8452

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 four business divisions: Retail, Asset Management, Wholesale (Global Markets and Investment Banking), and Merchant 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.

Division 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.

Business Unit Overview:

Credit Risk Analytics (CRA) develops the quantitative methodologies used to measure counterparty credit risk; provides analyses and consultation on credit risk quantification, participates in global efforts on modelling credit risk exposure.

This team is responsible for enhancement and methodological support of PRISM, the global counterparty credit exposure measurement system, to accommodate new business needs and maintain compliance with major regulatory standards, including SEC/NFA, PRA and J-FSA. To support business/risk managers for live complex structured derivatives transactions. To work on various regulatory requirements including Back testing, Stress Testing, Model reviews, Calibration, User Acceptance Testing, Documentation of models

Position Specifications:

Corporate Title	Associate
Functional Title	Associate/Senior Associate
Experience	4 - 6 years
Qualification	Masters in Quantitative discipline (B.E / B. Tech+, M. Tech, MSc (Maths / Stats), Econometrics)
Requisition No.

Role & Responsibilities:

This associate role within CRA Powai will be focusing on carrying out counterparty risk model development and performance review tasks for various Nomura group legal entities including US and EMEA regions.

Provide analysis and consultation on credit risk quantification. Work closely with global development teams on implementation of models and systems
Work on various regulatory requirements including Back testing, Model Performance reviews, Calibration, User Acceptance Testing, Documentation of models, etc.
Implement risk models into strategic risk system (this includes developing methodology, building prototype, writing technical business requirement document, performing model testing, ensure compliance with regulatory requirements and liaising with model validation group).
Collaborate with Risk IT in the strategic implementation of various initiatives
Participate in periodic model performance review and calibration of model parameters.
To aid regulatory reviews and inspections by providing necessary analysis.

Key Skills:

Domain

Sufficient exposure to quantification of counterparty risk and regulatory landscape.
Basic understanding of stochastic calculus, Derivative pricing, Monte Carlo Simulation.
Proficiency in Excel-VBA/Python

Strong verbal and written communication skills
Organisational skills, multi-tasking and detail oriented
Delivery focussed with the ability to work well under pressure and meet deadlines under compressed timescales