Nomura - Analyst/Associate - Quantitative Risk Management - Model Validation

- Review internally and externally developed Risk and Stress Testing models. Depending on prioritisation, projects could involve working on validating market risk, stress testing or counterparty exposure models. Candidate preference to work primarily either on Market Risk or Counterparty Exposure domain can also be accommodated.

- Validations would include reviewing the theoretical assumptions and the implementation of the model e.g. setting up independent benchmarking tools for testing of various scenarios & boundary conditions for complex models.

- Model Risk Analysis

- Preparation of model review documentation

- The current role will specifically look into following areas

- Validation of risk models (existing counterparty exposure, VaR models, FRTB IMA developments, FRTB SA CVA) 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.