Job Title:  RSK-Risk Methodology 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.

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:

Role & Responsibilities:

• Analyse and review the back testing exceptions with Risk managers (RM) and Product control (PC) and highlight deficiencies (if any) in the model. This involves performing an in-depth analysis to identify the drivers and subsequently work on remediating the model issues.

• Create strategic quantitative tools to facilitate monitoring of valuation functions level performance on Full revaluation vs Spot-Vol Grid vs Spot only Ladder vs Greek Only approach.

• Work closely with the RM, Risk Change/IT, and PC on the project related to FRTB IMA (desk level PLAT and BT requirements)

• Working on various Regulatory and MVG (Model Validation Group) requirement, this includes model-related IMA Hypothetic Portfolio Exercise findings by doing in-depth analysis followed by model remediation tasks.

• Work on various development projects including developing new or enhancing existing MPM tools.

• Act as a subject matter expert for the risk models including an understanding of 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.

• Provide necessary support to team during validation of Market Risk FRTB models by MVG/Audit including any model change on an ongoing basis.

• Execute routine BAU tasks efficiently and accurately within the established framework and agreed-upon SLAs.

• This role centres on producing timely and accurate reports. It requires strong attention to detail, the ability to work efficiently under pressure, and a commitment to maintaining high standards in a fast-paced financial environment.

• The role demands adaptability to changing market conditions, including the willingness to extend work hours during periods of market volatility. Candidates should be prepared to adjust their schedules as needed to meet critical deadlines and operational requirements

Mind Set:

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.