Risk Management - Risk Methodology – Vice President

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 www.nomura.com.

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.

Division 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.

Business Unit Overview :

The Risk Methodologies Group (RMG) has the mandate to develop / enhance risk models in line with internal and regulatory requirements and to back-test VaR against Hypo and clean PnL. The methodologies side of the group has the critical task of owning all the risk models that are used for computing capital adequacy for the whole firm, and the back-testing group of adjusting and updating Hypo PnL using adjustments provided by various different systems. The group works extensively on the regulatory capital model, including the proposed regulation, fundamental review of trading book (FRTB).

Position Specifications :

Corporate Title : Vice President

Functional Title : Vice President

Experience : 8 - 10 years

Qualification : Master’s in quantitative discipline (B.E / B. Tech+, M. Tech, MSc (Maths / Stats / Physics), Econometrics)

Role & Responsibilities :

• Work closely with different stakeholders including Front Office, Risk Managers, IT and Risk Methodologies Group (RMG) on projects related to Regulatory capital models (eg. FRTB).
• Perform firm wide plus desk level analysis to assess the impact of new regulation and support in quantitative impact study (QIS).
• Act as a subject matter expert for the risk models including an understanding of FRTB guidelines and providing support to the model users (i.e. Risk managers) and be a key point of contact with respect to such models.
• Ensure that the FRTB SA & IMA models meet their stated objectives by building robust SBA, RRAO, SA DRC, Risk factor eligibility test tools, NMRF SES, IMA DRC and IMA ESF methodologies.
• Development of proto-type models related to Model performance Monitoring of FRTB models.
• Implementation of risk models into strategic risk system (this includes developing methodology, building prototype, writing technical business requirement document, performing model testing, ensure compliance with regulatory requirements and liaising with model validation group).
• Create strategic tools for deal analysis / RWA driver analysis / NMRF Add-on / PnL Adjustment / Back testing using python to facilitate integration with FRTB implementation and offline calculation of risk numbers.
• Build FRTB based What-If prototype tools in collaboration with Business / Risk Managers for new portfolio / hedge impact analysis
• Participate in periodic review of models and calibration of model parameters.
• Provide necessary support to team during validation of market risk models by Model validation group / Audit including any model change on an ongoing basis.
• Need to handle stakeholder requests (typically FO and Risk Managers) on RWA optimization and What-If analysis. This would involve :
• Working with stakeholders across different timezones to understand their requests
• Running and explaining "What-If" scenarios (e.g. different split of IMA / SA desk scenarios, pre-trade capital impact etc.)
• Understanding of capital allocation methodologies (e.g Euler) to accurately identify key drivers of capital
• Preparing the necessarily materials to explain the results
• Presenting the results to stakeholders
• Support with building tools that help in making the above processes more time-efficient
• Holding technical workshops to educate stakeholders on how FRTB SA and IMA models work

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, color, national or ethnic origins, religious belief, disability or age.