Quantitative Developer

2 days 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 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 appropriateness, integrity and comprehensiveness of different models used in the firm. These include Risk Models, Valuation Models, IPV models, Liquidity models and Algo trading models in the firm.


The current opening is for a Model Validation quant developer role to help with the day to day responsibilities of the group, and to development of a library for the automation of running analytical tests, feeding into model review reports, monitoring of model performance, and to provide a reporting layer for the wider bank. In addition the role will also work on model validation for Risk Models (Market Risk Models like FRTB).



Position Specifications:


Corporate Title: Analyst/Associate

Functional Title: Senior Analyst/Associate

Experience: 1-4 years

Qualification: Grad/PostGrad with a strong degree in quantitative/ engineering domain or PGDM Finance



Role & Responsibilities:

Development of group wide analytical, testing and reporting library in Python


Help with designing and implementation of tests to challenge the theoretical assumptions and the implementation of the models (includes market risk models like FRTB capital models), including benchmarking, back-testing, scenario analysis and edge conditions.


Ensure that the models meet their stated objectives


Preparation of model review documentation


Model risk analysis.



Key Skills:


Required Qualification, Experience & Skills:


Very experienced, and deep understanding of Python including procedural and functional programming styles. Experience with managing different Python environments.


In-depth understanding of the Python software development stacks, ecosystems, frameworks and tools such as Numpy, Scipy, Pandas, Matplotlib, Dask, sci-kit-learn and PyTorch.


Strong unit test and debugging skills


Basic understanding of market risk models – Value at Risk, Counterparty Credit Risk models, FRTB.


Good written communication in English


Desirable:


Experience in modern C++ / C# - (Dotnet core / Blazor / Entity Framework)


Experience with a reporting tool e.g. PowerBI


Basic understanding of financial products, and their pricing e.g. Monte Carlo / Finite Difference etc.


Experience with SQL


VSCode / Visual Studio knowledge.

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