RSK-Risk Methodology Group

Nomura Overview:

 

Nomura is a global financial services group with an integrated network spanning approximately 30 countries and regions. By connecting markets East & West, Nomura services the needs of individuals, institutions, corporates and governments through its three business divisions: Wealth Management, Investment 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 supports the group’s global businesses. With world-class capabilities in trading support, research, information technology, financial control, operations, risk management and legal support, the firm plays a key role in facilitating the group’s global operations.

 

At Nomura, creating an inclusive workplace is a priority. Our approach to inclusion encompasses a variety of initiatives, including sensitization campaigns, implementing conducive policies & programs, providing infrastructure support and engaging in community events. Over time, we have made meaningful progress in these areas, and this commitment has been well-recognized across the industry. We are proud recipients of the prestigious Top 10 Employers award by the India Workplace Equality Index (IWEI), IWEI Gold Employer of Choice awards, India CSR Leadership Award 2024 for Holistic Village Development Program and the YUVA Unstoppable Changemaker Awards.

 

 

Division 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 that 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
• Quantitative Risk Management
• Operational Risk Management
• Data Integrity Group

 

Business Unit Overview:

Stress testing’s primary purpose is to ensure that all material risk concentrations are understood and consistent with the Firm’s risk appetite and business strategy. Stress testing is carried out on a regular basis to ensure that the Firm has sufficient resources to continue to do business in the event of a severe downturn scenario beyond the reach of VaR/Economic Capital.

 

The Stress Testing analytics is a sub-team of the Risk Methodologies Group (RMG); has the mandate to develop / enhance  stress testing models in line with internal and regulatory requirements/guidelines provided on Stress testing framework. The methodologies side of the group has the critical task of owning and developing all the stress testing models that are used for computing capital adequacy for the whole firm under various regulator(s) provided scenarios or internal scenarios. The team works extensively on the regulatory capital model under stress scenarios; Works with front office and other risk managers to review pricing errors under full relvauation methods and also enhance the stress testing models. The role will predominantly focus on the development, documentation and maintenance of the various IRRBB (Interest Rate Risk in the Banking book) models across various legal entities.

 

Position Specifications:

 

Corporate Title

Associate

Functional Title

Associate

Experience

4 - 6 years

Qualification

Masters in Quantitative discipline (B.E/B. Tech+, M. Tech, MSc (Maths/Stats), Econometrics)

Requisition No.

10717

 

 

 

 

Role & Responsibilities:

 

• Work closely with the Treasury Group, the Risk Methodologies Group (RMG) and Stress Testing Group (STG) on the projects related to Stress Testing Framework.
• Development and periodic update of proto-type models with special attention to the model related to Market risk and Counterparty Credit Risk.
• Implementation of stress testing models into strategic risk system (this includes developing methodology, building prototype, writing technical business requirement document, performing model testing, ensure compliance with regulatory requirements and liaising with model validation group).
• To act as  a  subject matter expert for the  stress testing models and providing  support to the model users (i.e. stress testing group) and be a key point of contact with respect to such models.
• Work on the  stress testing guidelines, perform firm wide analysis to assess the impact of  stress testing models and support in quantitative impact study (QIS).
• Create strategic tools for  stress testing models using python.
• Participate in periodic review of models and calibration of model parameters.

 

• Provide necessary support to Model validation group/Audit team during validation of stress testing models  including any model change on an ongoing basis.

 

Mind Set:

 

 

Mandatory

Desired

Domain

 

• 4-8  years of experience either in Market risk or Credit risk with good understanding of risk modelling.
• Good understanding of mathematical concepts like probability, statistics, calculus, linear algebra.
• Good knowledge of Python, SQL, Matlab, VBA.
• Good understating of financial products (Bonds, Derivatives)

 

 

• A strong Mathematical/Statistical background.
• Actuaries (Cleared at least 3 CT papers) would be advantage
• FRM/PRM/CFA certification would be added advantage.

 

We are committed to providing equal opportunities throughout employment including in the recruitment, training and development of employees. We prohibit discrimination in the workplace whether on grounds of gender, marital or domestic partnership status, pregnancy, carer’s responsibilities, sexual orientation, gender identity, gender expression, race, color, national or ethnic origins, religious belief, disability or age.

 

 

*Applying for this role does not amount to a job offer or create an obligation on Nomura to provide a job offer. The expression "Nomura" refers to Nomura Services India Private Limited together with its affiliates.