▷ High Salary: Quantitative Risk Management

4 weeks ago

Mumbai, India Nomura Full time
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 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/Associate/VP

Functional Title: Analyst/Senior Analyst/Associate/Senior Associate/AVP/VP

Experience: 1-9 years

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:

Mandatory

Domain

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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