Nomura - Assistant Vice President - Risk Management - Risk Methodology - SIMM

Job Description:

Periodic back testing and performance monitoring of the following models: SIMM (Standardized Initial Margin Model) model, Firms internal VaR model, and 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.

Skills Required:

- 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 banks 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.