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. The current opening is for a quant in the VCMVG group.

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 Risk Models, Valuation Models, IPV models, Liquidity models and Algo trading models in the firm.
• The Valuation Control Model Validation Group within Model Validation is the team that analyses, reviews & validates the models developed within the Valuation Control division.
• Additionally, the role also gives opportunity to develop additional into validation of derivative pricing and hedging models developed by Front Office (e.g. Libor Market Model, Local Volatility and Stochastic Volatility modelling approaches)
• Review internally and externally developed Valuation Control models (with additional opportunity to start working on Front Office derivative pricing models) – Ensure that the model meets its stated objective and intended use.
• Development of tools for Implementation testing to ensure that the production model is consistent with its theoretical basis.
• Assessment of the integrity and suitability of Model parameters.
• Analysis of Model Assumptions and quantification of model Risk.
• Preparation of model validation documentation.
• Ability to communicate with regional stakeholders and senior management.
• Ability to work effectively on multiple projects across model types.

Requirements

• Prior Model development or Model validation experience preferably in Derivative Pricing Models(e.g. Libor Market Model, Heston, Local Volatility) or Valuation Control Models or Risk Models (e.g. VaR/Counterparty Exposure).
• Strong preference for prior understanding of stochastic calculus.
• Good understanding of derivative products and their risk profile.
• Good understanding of derivative pricing.
• Advanced working knowledge of MS Excel and VBA with competency in one of the programming languages like Python.

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