Job Title:  Pricing Models Quantitative Specialist - Vice President

The base pay range for this position at commencement of employment is expected to be between $190K and $220K/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:

The department is a key part of the firm's corporate governance and the department’s primary objectives are to review the company's control environment and report any weaknesses identified to the Audit Committee and senior management.

The department in the US comprises over 30 professionals, split across business, risk, LCC and IT auditors reporting functionally to the Global Portfolio Directors of each divisions and/or to the Regional Head of Internal Audit for the region based in the US.

Role description:

The Vice President, Pricing Models Quantitative Specialist Audit position is a specialist Model risk audit role within Nomura Internal Audit. It is a global role and reports primarily to the Global Head of Model Risk Audit and secondarily to the Regional Risk Management Audit Head. This is a key role in assessing firm’s pricing model risks and the individual will lead or participate in Model Risk Management and other Business line audits, as well as supporting other Internal Audit activities including risk assessment, issue remediation validation and continuous monitoring and auditing. The Model Risk Management audits are global and regional covering pricing models, risk management models and capital models and also involves assessing compliance with local and global regulatory requirements.

The role involves ongoing coordination with members of other regional and cross functional Internal Audit teams covering Technology, Operations, Global Markets and Investment Banking, Legal and Compliance, and Finance across New York, London, Singapore, Hong Kong, Powai and Tokyo. 

Key Responsibilities:

• Performing assessments of the firm’s front office pricing model development processes against industry and regulatory standards
• Assessing the ongoing monitoring of model performance and appropriateness of pricing model usage during Business line audits
• Assessing the robustness of model validation processes performed by the second line of defence Model Validation Group
• Assessing the firm’s model risk management practices against regulatory standards such as SR 11-7, JFSA, PRA, BAFIN and ECB requirements
• Assist in annual risk assessments of Model risk related auditable entities
• Effectively collaborate with other Global and Regional audit teams and deliver assistance where needed either in audits or other advisory matters.
• Perform continuous monitoring of the firm’s Model risks
• Support in developing and implementing data analytics and automated testing where necessary
• Identifying and formulating solutions to issues around Model Risk management.
• Tracking implementation of recommended processes and procedures designed to strengthen internal controls

Skills, experience, qualifications and knowledge required:

• A Master’s or PhD in quantitative sciences, supported by work experience as a Market Risk manager or a Risk Management Auditor in a financial services firm, Consulting firm or Big 4 firm. 
• Excellent understanding of quantitative finance and model development
• Strong financial mathematics skills and fluency in stochastic calculus, statistics, and numerical methods.
• Subject matter expertise to support the global model risk audit manager in establishing and executing an effective audit approach around valuation and pricing models.
• Significant experience in pricing models design, development, calibration, stress testing and validation.
• Should have worked in pricing model development or model validation function in first or second line of defence at a major Financial Institution
• Ability to code, preferably in Python
• Strong in Project Management, building relationships, staff development and communication in both oral and written forms 
• Relevant market knowledge across asset classes and experience in risk managing derivative products (IR, FX, Credit, Equity, Inflation, etc.)
• Ability to challenge and be challenged while maintaining the highest level of professionalism and ethics
• Independent, reliable, and self-motivated
• Ability to clearly communicate with senior management and convey opinions stemming from complex situation and concepts
• Strong interpersonal skills to be able to communicate within Internal Audit and with internal stakeholders and various levels of seniority
• Audit experience a plus

*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. The total compensation package for this position may also include other elements, including a sign-on bonus, restricted stock units, and discretionary awards in addition to a full range of medical, financial, and/or other benefits (including 401(k) eligibility and various paid time off benefits, such as vacation, sick time, and parental leave), dependent on the position offered. Details of participation in these benefit plans will be provided if an employee receives an offer of employment.

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