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Consultant at Black Turtle
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Counterparty Risk & Model Validation Role - IWM Risk Methodology (3-5 yrs)
Experience 3 - 5 years
Qualification Masters in a quantitative discipline (Financial Engineering, Mathematics,)
Counterparty risk and model validation
Business Unit Overview:
- Credit Risk Analytics within Risk Methodology Group develops the quantitative methodologies used to measure counterparty credit risk; provides analyses and consultation on credit risk quantification, participates in global efforts on modelling credit risk exposure.
- This role will be focusing specifically in supporting Nomura's International Wealth Management IMW) business.
- IWM's key business is to provide Private banking solutions to clients which includes custodian & brokerage services to clients, through this offering, IWM is offering collateralized credit facilities to their clients (Loan, FX derivatives, Equity Derivatives, IRS, CCS). Collaterals cover asset classes such as, cash, equity, bonds, funds, structured notes, properties.
- This role will sit within Risk Methodology Group focusing on below areas.
- Developing haircut methodologies and margin requirements methodologies to cover the IWM (International Wealth Management) business
- Working knowledge of financial math and statistics (back testing, stress testing, etc.)
- Participate in WWR identification & appropriate treatment.
- Excellent at spreadsheet development (and VBA) and Bloomberg terminal, along with strong verbal communication skills. Should be at ease in communicating with regional stakeholders including business and Model Validation Group.
Mind Set:
- Self-driven and Self-learner
- Willingness and capability to perform efficiently and produce high quality work
- Strong analytical skills and reporting skills with a good eye for detail, ability to multi- task
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