Risk Management - Quantitative Risk Management - Model Validation

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

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.

Divisional 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 which 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

Risk Methodology

Model Risk Management

Business Overview :

Model Risk Management is a group within Risk Management headed by the Global Head of Model Risk responsible for :

(1) Executing and maintaining an effective Model Risk management framework.

(2) Producing a consolidated view of Model Risk for comparison with the Model Risk Appetite.

(3) Independently validating the integrity and comprehensiveness of the Models in the Firm.

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.

Position Specifications :

Corporate Title : Associate

Functional Title : Associate / Senior Associate / AVP

Experience : 3-7 years

Qualification :

Grad / PostGrad / Phd in a highly quantitative field

Role & Responsibilities :

The current position is for a Risk Model Validator in Market Risk modelling space. The models covered could range across

Economic Risk Models

Stress Testing

Regulatory Capital Models (FRTB IMA and SA, Basel 2.5)

Validation tasks would include reviewing the

Conceptual soundness and the implementation of the model

Model Risk Analysis

Preparation of model review documentation

Review of Model Performance Monitoring

Periodic Reviews of Models

Mind Set :

Qualification, Experience & Skills :

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

General financial products knowledge

We are looking for candidates with prior knowledge / experience in one or more of the following areas :

a. Risk Models : Value at Risk, Counterparty Risk Exposure models, Margin Models

b. Stress Testing models

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

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

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

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

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, colour, 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).