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Freshers for Quantitative Risk Management
5 days ago
Nomura Overview:
“Nomura is an Asia-headquartered financial services group with an integrated global network spanning over 30 countries. By ‘Connecting Markets East & West’, Nomura services the needs of individuals, institutions, corporates and governments through its three business divisions: Retail, Asset 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, (Powai) supports Nomura’s businesses around the world. Powai’ s world class capabilities in trading support, research, information technology, financial control, operations, risk management and legal support have played a key role in facilitating Nomura’s global operations and are an integral part of Nomura’s global expansion plans. The Powai operation is a critical part of the platform to support the growth of Nomura’s global business.
Divisional 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. The Risk Management Division in India comprises:
Market Risk Management
Credit Risk Management
Risk Methodology
Model Validation
Business Unit Overview:
Model Validation:
The Model Validation Group (MVG) is globally responsible for independently validating the integrity and comprehensiveness of Risk Models and Valuation 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.
The current position is in Risk Model Validation space. The models covered could range across
Regulatory Capital Models (FRTB IMA and SA, Basel 2.5)
Economic Risk Models
Stress Testing
Trading Winddown
Position Specifications:
Corporate Title: Analyst
Functional Title: Analyst
Experience: Fresher
Qualification: Grad/PostGrad/Phd in a highly quantitative field
Role & Responsibilities:
Review internally and externally developed Risk Models across the below categories-
- Regulatory Capital Models (FRTB IMA and SA, Basel 2.5)
- Economic Risk Models
- Stress Testing
- Trading Winddown
Validations would include reviewing the theoretical assumptions and the implementation of the model e.g. setting up independent benchmarking tools for testing of various scenarios & boundary conditions for complex models.
Model Risk Analysis
Preparation of model review documentation
Key Skills:
Qualification, Experience & Skills:
Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and comfort level with one / more programming languages is expected
Familiarity with econometrics or general statistics is desirable
General financial products knowledge
In particular, we are looking for candidates with prior knowledge / experience in one or more of the following areas:
a. Risk Models: Value at Risk, Counterparty Risk Exposure models, Margin Models
b. Stress Testing models
c. Interest Rate: Libor Market Model, HJM, Models of the short-rate
d. Equity: Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)
e. Credit: Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation
f. FX: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)
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Mumbai, India Nomura Full timeNomura Overview: “Nomura is an Asia-headquartered financial services group with an integrated global network spanning over 30 countries. By ‘Connecting Markets East & West’, Nomura services the needs of individuals, institutions, corporates and governments through its three business divisions: Retail, Asset Management, and Wholesale (Global Markets...
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Mumbai, India Nomura Full timeNomura Overview:“Nomura is an Asia-headquartered financial services group with an integrated global network spanning over 30 countries. By ‘Connecting Markets East & West’, Nomura services the needs of individuals, institutions, corporates and governments through its three business divisions: Retail, Asset Management, and Wholesale (Global Markets and...
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