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Job Title:  RSK-Risk Methodology Group

Job Code:  8414
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:

 

The Risk Methodologies Group (RMG) has the mandate to develop / enhance risk models in line with internal and regulatory requirements and to back-test VaR against Hypo and clean PnL. The methodologies side of the group has the critical task of owning all the risk models that are used for computing capital adequacy for the whole firm, and the back-testing group of adjusting and updating Hypo PnL using adjustments provided by various different systems. The group works extensively on the regulatory capital model, including the proposed regulation, fundamental review of trading book (FRTB).

 

Position Specifications:

 

Corporate Title

Analyst

Functional Title

Analyst / Senior Analyst

Experience

1 - 3 years

Qualification

Bachelors/Masters in Quantitative discipline (B.E / B. Tech+, M. Tech, MSc (Maths / Stats), Econometrics)

Requisition No.

8414

 

 

 

 

 

 

 

 

 

 

Role & Responsibilities:

 

 

  • Work closely with the Risk Methodologies Group (RMG) on the projects related to Regulatory and Economic risk capital models.
  • In addition to Basel2.5, work on the prospective regulation, i.e., FRTB, if required. Perform firm wide plus desk level analysis to assess the impact of existing and new regulations.
  • Act as a subject matter expert for the risk models including an understanding of Basel2.5 & FRTB guidelines and providing support to the model users (i.e., Risk managers) and be a key point of contact with respect to such models.
  • Development and periodic update of proto-type models with special attention to the model related to Market risk VaR.
  • Work on the Event Risk models including model development, maintenance and model enhancement.
  • Implementation of 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).
  • Create strategic tools for VaR/RNIV/Add-on/PnL Adjustment/Event risk using python to facilitate integration with Basel2.5 implementation and offline calculation of risk numbers.
  • Participate in periodic review of VaR and Event Risk models and calibration of model parameters.
  • Providing live trade support for VaR/RNIV/Add-on/Event Risk computations and performing offline risk capital calculation business/products (periodically and on ad-hoc basis).
  • Provide necessary support to team during validation of VaR models by Model Validation Group/Audit including any model change on an ongoing basis.
  • Contribute in periodic model performance monitoring which is a critical aspect of ensuring that models are functioning as intended, for the following models:
    • Firm’s internal VaR model
    • Other risk models such as Event Risk and Economic Risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mind Set:

 

 

Mandatory

Desired

Domain

 

  • 1-3 years of experience either in Market risk and/or Credit risk with good understanding of risk modelling.
  • Good understanding of mathematical concepts like probability, statistics, calculus, linear algebra.
  • Good knowledge of Python, SQL, Matlab, VBA.
  • Good understating of financial products (Bonds, Derivatives)
  • Good understanding of ongoing banking regulatory requirements (BCBS)

 

 

  • A strong Mathematical/Statistical background.
  • Actuaries (Cleared at least 3 CT papers) would be advantage
  • FRM/PRM/CFA certification would be added advantage
       

 

 

 

 

 

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