Job Title:  Quant Developer

The pay range for this position at commencement of employment is expected to be between $120000 and $130,000/year*

Company overview

Nomura is a global financial services group with an integrated network spanning over 30 countries and regions. By connecting markets East & West, Nomura services the needs of individuals, institutions, corporates and governments through its three business divisions: Retail, Wholesale (Global Markets and Investment Banking), and Investment Management. 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.

Aon’s Benefit Index®, Nomura’s benefits rank #1 amongst our competitors

Department overview:

Risk IT is a global division responsible for the implementation, delivery and support of software used by the Risk Management division. Our systems calculate various counterparty and market risk metrics for the entire firm’s trading books, and provide users with the means to query those results through a variety of UI and reporting tools.

The Risk Engines group is a global group responsible for the systems which handle the exposure and stress calculations, across both Credit and Market Risk. We interact with business users such as the risk quantitative analysts and risk managers. The sheer volume of daily data means we have to consider innovative solutions to allow our compute and data storage capabilities to scale with the demands of increasing trade populations and regulatory-driven business requirements.

Role description:

FRTB is an industry-wide regulatory initiative to which includes proposals to introduce a framework for Market Risk. We require an experienced Java and Python developer to join the Market Risk team to work on FRTB model development. Our tech stack is predominantly distributed Java and Python services, with relational and distributed databases, GemFire as a caching layer and ActivePivot for real-time interrogation of aggregated risk metrics. We use Python ecosystem for rapid prototyping, distributed computing and development of market risk models. We are also building out a Hadoop store of market risk data, which incorporates Dremio for data querying and both Arrow and Parquet as columnar data formats.

The successful candidate will work on the build-out of new functionality for FRTB. They will need to work closely with risk quants, and to work with developers and BAs across regions. They will be expected to adapt to new technologies quickly, and to work across a range of data-oriented tech including ActivePivot, Hadoop, and Public Cloud Compute Technologies like AWS. From time to time they will have to analyse requirements, propose designs (for example for new services), circulate them for feedback, break the design down into tasks and execute them. The ability to be clear and precise in both written and verbal communication is also critical.

Skills, experience, qualifications and knowledge required

• Java – core language (Java 8+), multi-threading, performance optimisation.
• Numerate.
• Python (experience w/ pandas, numpy, dask, Prefect).
• Market Risk - general concepts.

Desirable

• Experience of working either with Methodology/Quants or on pricing/risk models.
• Market Risk – VaR methodology, P&L Explains/Predict, FRTB, SBA, IMA.
• Distributed, service-oriented architectures.
• Hadoop, Dremio and the related ecosystem.
• ActivePivot, GemFire or similar in-memory cache/aggregation technologies.
• AWS Technologies
• Experience working with quantitative pricing libraries and Compute Grid Technologies

*base pay offered may vary depending on multiple individualized factors, including market location, corporate and functional title and duties, job-related knowledge and advanced degrees, skills, and experience.

If hired, employee will be in an “at-will position” and the Company reserves the right to modify base salary (as well as any other discretionary payment or compensation program) at any time, including for reasons related to individual performance, Company or individual department/team performance, and market factors”.

Nomura is an Equal Opportunity Employer