Description:
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:
The goal of the Risk Methodologies Group (RMG) is to develop a robust risk-modelling framework for calculating potential losses incurred from a specific risk type, as used for regulatory or economic capital calculations, limit monitoring, trade approval or management reporting. This includes development / enhancement, evaluation and monitoring of risk models. The model performance team within RMG assess (via various backtesting and monitoring processes) whether changes in the economic and business environment have affected (or may affect) the assumptions of the model and therefore its performance.
What We Offer:
- We support employee wellbeing by ensuring a sense of purpose and belonging.
- We offer a comprehensive range of wellbeing services which allows employees to get access to the assistance they need at any point in their wellbeing journey.
- Our bespoke benefits support employees and their family’s holistic wellbeing and are inclusive of diverse identities and family structures.
Mind Set:
- 8+ years of experience in SIMM/VaR Backtesting (reporting and breach root-cause analysis)
- Good understanding of FO P&L attribution and market risk model for derivative instruments across different asset classes.
- Experience dealing with multiple stakeholders – Risk Managers, Product Controllers, Risk IT, Front Office and Regulators.
- Strong inclination to work in a hybrid set-up which involves model development along with managing BAU deliverables.
- Experience of the ISDA SIMM and knowledge of bank’s margining frameworks.
- Experience with root-cause analysis and reporting SIMM/ VaR Back testing results
- FRM/PRM/CFA certification would be added advantage
- Knowledge of Python, Excel VBA and SQL
Position Specifications:
Associate (Assistant Vice President)
Masters in Quantitative discipline, Finance/economics or similar
Role & Responsibilities:
- Periodic back testing/ performance monitoring of the following models:
- SIMM (Standardized Initial Margin Model) model
- Firm’s internal VaR model
- Other risk models
- SIMM (Standardized Initial Margin Model) model monitoring and reporting, which involves development and ownership of the back testing/benchmarking methodology, identifying risk not in SIMM and in depth analysis on exception drivers by working across product and risk classes.
- Analyse and review the back testing exceptions with Front office and Product control and highlight deficiencies (if any) in the model.
- Execute day-to-day activities pertaining to regulatory and internally agreed ongoing model performance monitoring.
- Identify opportunities to streamline and automate daily manual processes, and work with Risk IT to implement these improvements
- To act as a subject matter expert for the related risk models and providing feedback to the model developers and users
- Be the key conduit between firm and regulatory bodies on any communication related to SIMM back testing results
- Interact with senior stakeholders across divisions such as Front office Quants, Finance, Risk management and IT to resolve issues.
- Maintain back testing related policy and procedure documentation
- Comfortably communicate and articulate with counterparty for SIMM remediation actions.
- Support model developers in automating the execution of their RMPM tests. In addition to experience with model back testing for ongoing monitoring, have a sound understanding and experience of performing sensitivity analysis, statistical testing and model benchmarking.
- Host multiple ongoing model performance monitoring forums where results are presented and challenged.
- Develop strategic tools for standardising and consolidating RMPM status reporting/drilldown
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.
- The benefits are subject to change and will be in accordance with Company’s policies as may be applicable from time to time).
