Nomura India | RSK-Model Validation Group

About the team

MVG also develops measures of Model Risk, monitoring Model Risk vs. the firm’s Model Risk Appetite and escalates model approval breaches.

Responsibilities

• 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.
• The Model Validation Group (MVG) is globally responsible for independently validating the integrity and comprehensiveness of models utilized in the firm’s business activities.
• As part of Counterparty Credit Risk (CCR) Model Validation team, you will lead the independent validation of complex models used to measure CCR exposure such as PFE, EPE, EAD and CVA.
• You will drive the evaluation of both internal risk management models and regulatory capital models, ensuring they are conceptually sound, accurately implemented, and compliant with global regulatory standards (e.g., Basel III, CRD IV, PRA SS 1/23).
• Manage end-to-end validation of CCR models, including Monte Carlo exposure simulation engines, netting and collateral models, CVA/XVA pricing engines.
• Challenge modelling assumptions, mathematical frameworks, calibration, and stress testing approaches.
• Review model documentation, coding standards, and implementation testing (including independent replication or benchmarking as needed).
• Communicate validation findings to model owners, governance committees, and senior management.
• Influence model risk policy and contribute to model governance frameworks.
• Deliver high-quality model validation reports and executive summaries aligned with internal policy and regulatory guidance (e.g., Basel III, CRD IV, PRA SS 1/23).
• Ensure models are appropriately categorized and inventoried within the bank's Model Risk Management framework.
• Provide technical guidance to junior validators and support their development.
• Lead peer reviews and contribute to continuous improvement of validation standards.
• Periodic review of model performance and validation of model changes.
• Contribute to risk committees and raise controls on model limitations and assumptions.

Requirements

• Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and comfort level with one / more programming languages is expected.
• Risk Models: Counterparty Risk Exposure models.
• A strong graduate/ post graduate degree in Engineering, Mathematics, Computer Science, Economics or other quantitative area.
• Proven work experience conducting quantitative analysis using programming (proficiency in Python, R, or VBA is required).
• Strong written communication and reporting skills in English, as you will collaborate with overseas stakeholders.
• Exposure to AI, ML techniques

Nomura

Nomura is a Japanese financial services group, founded in 1925 and headquartered in Tokyo, with a network spanning around 30 countries and regions. Its business is organised into four divisions: Wealth Management, Investment Management, Wholesale (Global Markets and Investment Banking) and Banking.

In India, Nomura Services India in Powai, Mumbai supports the group's global businesses with teams in financial control and reporting, risk management, operations, research, trading support, compliance, legal and technology. Roles in financial control, product control, regulatory reporting, risk, audit and operations there suit chartered accountants, ACCA and CFA professionals and MBA (Finance) graduates.

• Industry: Global investment banking and financial services
• Headquarters: Tokyo, Japan (Nomura Holdings, Inc.)
• In India: Nomura Services India in Powai, Mumbai, a large centre supporting the group's businesses worldwide, with further offices in Mumbai and Gurugram