Job Title:  Securitized Products Model Risk Quant-Associate

The pay range for this position at commencement of employment is expected to be between $100,000 and $145,000/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 description:

The Model Validation Group (MVG) is globally responsible for independently validating the integrity and comprehensiveness of Models in the firm. MVG also develops measures of Model Risk; monitoring Model Risk vs. the firm’s Model Risk Appetite and escalates model approval breaches.

Role description:

• Associate level position in Global Model Validation Group with major responsibility for validating models used for securitized products
• Evaluation of model assumptions and review of model implementation to ensure it is consistent with its theoretical basis and that it is working correctly
• Benchmark models against alternative models, including developing models or component of the models in the independent benchmark library. Investigate and evaluate the reasonableness of any differences, recommend/define any measurement to account for any shortcomings
• Identify, analyse and quantify any potential model risk, including sensitivity to model assumptions, model calibration, model performance, stability of the model outputs, etc.
• Write up a comprehensive model validation documentation
• Running of the required processes such as periodic model review, model performance monitoring and Model Risk control processes, etc.

Key objectives critical to success:

The candidate is expected to subject models to effective and objective challenge. Outcomes/conclusions of this process must be communicated / discussed with the relevant stakeholders and Senior Management, and any remedial actions should be agreed upon and applied.

Skills, experience, qualifications and knowledge required:

• 1 to 3 years of experience from working in a model validation or a FO quantitative group at a major financial institution
• Familiarity with the following models is strongly preferable (but not a requirement)
  • MBS/ABS models (prepayment modelling, OAS valuation)
  • Interest rate modelling (short-rate models, HJM/BGM)
  • Risk models (VaR, Counterparty Exposure, etc.)
• PhD/Postgraduate degree in Statistics, Mathematics, Physics, computing science or similar education,
• Strong programming skills in Python/R/C++
• Team player with strong communication skills, verbal as well as written

*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