Job Title: RSK-Risk Methodology Group

Job Code: 10746

Country: IN

City: Mumbai

Skill Category: Risk

Description:

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 that 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
Quantitative Risk Management
Operational Risk Management
Data Integrity Group

Business Unit Overview:

The goal of the Risk Methodologies Group (RMG) is to develop a robust risk-modelling framework for calculating potential losses incurred from a specific risk type, as used for regulatory or economic capital calculations, limit monitoring, trade approval or management reporting. This includes development / enhancement, evaluation and monitoring of risk models. The model performance team within RMG assess (via various backtesting and monitoring processes) whether changes in the economic and business environment have affected (or may affect) the assumptions of the model and therefore its performance.

Position Specifications:

Corporate Title	Associate
Functional Title	Associate (MPM Reporting)
Experience	4 - 6 years
Qualification	MBA Finance/FRM/CFA or similar
Requisition No.	10746

Role & Responsibilities:

Periodic backtesting and model performance monitoring is a critical aspect in ensuring that models are functioning as intended. It involves monitoring the model's outputs, inputs, and performance metrics to ensure that the model is still accurate and relevant. Timely monitoring and analysis of model performance results can help mitigate model risk and improve the model's accuracy and effectiveness. The responsibilities include the following:

Daily Backtesting of firm’s internal VaR model including FRTB models and related analysis at entity as well as desk level. It also involves detailed analysis across product classes and risk factors.

Analyse and review the Backtesting exceptions and PLAT results with Risk managers. This involves monitoring, reporting, escalation, and initial root cause analysis.

Work with Product Control to remediate issues associated with P&L used for back testing

Preparing relevant BT and PLAT material (IMA desk & entity) and discuss the results in different governance forums with senior members in Risk management.

Working on various regulatory driven weekly, monthly and quarterly tasks which also involves reporting to external regulators and senior stakeholders. This includes monitoring and governance of desk level IMA Hypothetic Portfolio Exercise.

Good understanding of market risk factors across different asset classes, valuations of different financial products and trade lifecycle

Work on various development projects including automation/migration of existing MPM tools.

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:

Mandatory

Desired

Domain

4-6 years of experience either in Market risk or Product & Valuation (IPV) control with understanding of Market Risk metrics& P&L.
Strong inclination to work in a hybrid set-up which involves model development along with managing BAU deliverables.
Good understanding of financial products and its valuation.
Fair understanding of programming and database languages such as Python, SQL, VBA
Strong inclination to work in a hybrid set-up which involves model development along with managing BAU deliverables.

FRM/PRM/CFA certification would be added advantage.

Good understanding of Market Risk metrics, FRTB backtesting and PLA test.

Fair understanding of financial products (flow and derivatives) across assets classes (FX, Credit, Rates and Equities)

Fair understanding of other tools such as Power BI, Alteryx, etc.

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.