AVP - Quantitative Risk Management - Model Validation/Stochastic Calculus - BFSI

Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and comfort level with one / more programming languages is expected

- Familiarity with econometrics or general statistics is desirable

In particular, we are looking for candidates with knowledge / experience in one or more of the following areas:

a. Interest Rate: Libor Market Model, HJM, Models of the short-rate

b. Equity: Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)

c. Credit: Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation

d. FX: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)

e. Risk Models: Value at Risk, Counterparty Risk Exposure models

f. Stress Testing models

The current role will specifically look into following areas

- Validation of risk models (counterparty exposure, VaR etc) and/or

- Validation of stress testing models - models used for assessing the stability or business continuity of the Nomura Group from the view point of capital planning and capital adequacy, liquidity adequacy, recovery and resolution planning, appropriateness of Risk Appetite and routine risk management.

Activity is often project-based, being driven by various regulatory requirements (e.g. JFSA Industry-Wide Stress Testing).