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 worldclass 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 wellrecognized 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 firms comprehensive risk framework responsible for determining and managing the overall risk appetite for the firm. The division is responsible for effectively managing the firms riskreturn profile which ensures the efficient deployment of the firms capital. It is one of the firms 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 Validation
Business Unit Overview:
The Model Validation Group (MVG) is globally responsible for independently validating the integrity and comprehensiveness of m odels utilized in the firm s business activities. MVG also develops measures of Model Risk, monitoring Model Risk vs. the firm s Model Risk Appetite and escalates model approval breaches.
As part of Counterparty Credit Risk (CCR) Model Validation team, you will lead the independent validation of complex models used to measure CCR exposure such as PFE, EPE, EAD and CVA. You will drive the evaluation of both internal risk management models and regulatory capital models, ensuring they are conceptually sound, accurately implemented, and compliant with global regulatory standards (e.g., Basel III, CRD IV, PRA SS 1/23).
This is a highvisibility role with significant interaction across model development, risk management, front office, audit, and regulatory stakeholders.
Position Specifications:
Corporate Title
Analyst/Associate/AVP
Functional Title
Analyst/Senior Analyst/Associate/Senior Associate/AVP
Experience
16 years
Qualification
Grad/PostGrad with a strong degree in quantitative/ engineering domain or PGDM Finance
Requisition No.
10467
Role & Responsibilities:
-
Lead Independent Validation:
- Manage endtoend validation of CCR models, including Monte Carlo exposure simulation engines, netting and collateral models, CVA/XVA pricing engines.
- Challenge modelling assumptions, mathematical frameworks, calibration, and stress testing approaches.
- Review model documentation, coding standards, and implementation testing (including independent replication or benchmarking as needed).
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Stakeholder Engagement:
- Communicate validation findings to model owners, governance committees, and senior management.
- Influence model risk policy and contribute to model governance frameworks.
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Documentation and Governance:
- Deliver highquality model validation reports and executive summaries aligned with internal policy and regulatory guidance (e.g., Basel III, CRD IV, PRA SS 1/23).
- Ensure models are appropriately categorized and inventoried within the banks Model Risk Management framework.
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Mentorship and Oversight:
- Provide technical guidance to junior validators and support their development.
- Lead peer reviews and contribute to continuous improvement of validation standards.
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Ongoing Monitoring and Risk Review:
- Periodic review of model performance and validation of model changes.
- Contribute to risk committees and raise controls on model limitations and assumptions.
Key Skills:
Mandatory
Desired
Domain
- Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and comfort level with one / more programming languages is expected
- Expertise in at least one of the following areas:
- Risk Models: Value at Risk, Counterparty Risk Exposure models, Margin Models
- Stress Testing models
- Interest Rate: Libor Market Model, HJM, Models of the shortrate
- Equity: Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)
- Credit: Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation
- FX: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)
- Exposure to AI, ML techniques
Technical
- A strong graduate/ post graduate degree in Engineering, Mathematics, Computer Science, Economics or other quantitative area
- Proven work experience conducting quantitative analysis using programming (proficiency in Python, R, or VBA is required).
- Strong written communication and reporting skills in English, as you will collaborate with overseas stakeholders
- A proactive and collaborative attitude for working with stakeholders in various positions, demonstrating integrity and resilience while actively contributing to consensus building and the advancement of projects.
The firm is an equal opportunity employer, and we
are committed to providing equal opportunities throughout employment including in the recruitment, training and development of employees.
The firm and its affiliates
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.
