RSK-Model Validation Group

Mumbai, IN

Nomura

Nomura Holdings website. Group companies, news releases, services, CSR, IR, careers information.

View all jobs at Nomura

Apply now Apply later

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:

 

Quantitative Risk Management- Model Validation:

The Model Validation Group is a global team which validates and documents all in-house trading and risk models across all divisions and geographical locations. The Model Validation Group works closely with both the front office quantitative research teams and product control and the role consequently offers significant exposure to Pricing and Risk management models/ methodologies. The current position will focus mainly on validation of Treasury models.

 

Treasury Risk Model Validation:

 

As a Treasury Models Validation member you’ll be the validator for Treasury Risk models used internally. The coverage is global. The role will combine your qualitative and quantitative skills to work with the lead validator to correctly identify key issues & viable remediation actions and communicate results at different forums with exposure to senior stakeholders. You will be responsible to ensure that model risk is appropriately managed according to the Bank’s Model Risk Policy and Standards and comply with regulatory requirements. The role sits within a team where knowledge sharing is highly promoted.

 

 

Position Specifications:

 

Corporate Title

Analyst/Associate

Functional Title

Analyst/Associate

Experience

1-4 years

Qualification

Grad/PostGrad in a quantitative field

Requisition No.

 

 

 

 

Role & Responsibilities:

 

 

 

  • Develop detailed knowledge and understanding of Internal Policies and Standards to assess Model risk – Validation Procedures, Validation Document, and Development Procedures etc.
  • Develop detailed knowledge of Regulatory Model Validation policies
  • Validate models – Check data quality, Model methodology, Model assumptions & limitations, Model conceptual soundness, Model implementation, Model risk analysis
  • Ensure that the model meets its stated objective
  • Create a challenging model to support Validation Results. Challenge the existing models
  • Engage with model owners as well as business and development experts to ensure the liquidity positions are effectively challenged and model risk is properly addressed
  • Ensure that Development documents follow standard procedures, where necessary show them direction on approach
  • Create Model validation documents, get agreement from stakeholders on your conclusions
  • Suggest list of actions to be taken to remediate the model risk where they exist
  • Develop an independent view on the model methodology and challenge the assumptions where necessary.
  • Work closely with Development team to understand their rational
  • Maintain document repository in Model Database
  • Perform Model Performance Monitoring
  • This current role will look mainly into validation of Treasury models – for both Funding, Liquidity and cover all Items from on & off Balance sheet.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Key Skills:

 

 

 

 

 

 

 

Mandatory

Domain

Qualification, Experience & Skills:

  • A degree in quantitative subject (e.g. Math, Engineering, Statistics, Economics with quantitative minor; or equivalent
  • Basic understanding of Balance sheet items, ALM
  • Relevant work experience, preferably in liquidity risk model development or model validation.
  • Sound knowledge of treasury business, credit risk and credit rating models would be an asset. 
  • Basic understanding of Liquidity & Funding management
  • Basic knowledge & understanding of the relevant regulatory landscape like Basel 3 requirements as they apply to liquidity risks, ILAAP, LCR, NSFR etc.
  • Knowledge of Treasury instruments, relevant pricing models and both explicit and implicit embedded risks in them
  • Experience with behavioural modelling
  • Basic exposure to a major programming language (e.g. python) and coding
  • Highly organised in terms of documentation and follow through
  • Ability to communicate and influence effectively
  • Ability to organize & plan
  • Good written communication in English
  • Strong critical thinking skills and demonstrated ability to produce clear, concise written reports

 

Apply now Apply later
  • Share this job via
  • 𝕏
  • or

* Salary range is an estimate based on our AI, ML, Data Science Salary Index 💰

Job stats:  2  1  0

Tags: Banking Credit risk Data quality Economics Engineering Mathematics ML models Python Research Statistics

Region: Asia/Pacific
Country: India

More jobs like this