Model Risk - Investment Management

About the role

The Model Validation Group (MVG) is part of the Risk department and globally responsible for establishing Model Risk Management framework, independently validating the integrity and comprehensiveness of Models in the firm. MVG also develops measures of Model Risk; monitoring Model Risk vs. the firm’s Model Risk Appetite and escalates model approval breaches.

Responsibilities

• Conduct independent validation of complex models used in IMD covering quantitative investment strategies, index calculation including Quantitative Investment Strategies (QIS), automated execution, as well as models used in risk management and performance reporting.
• Evaluate model conceptual soundness, ongoing monitoring framework, and model outcomes and appropriateness for intended use.
• Document validation findings including risk-based assessment of model limitations and assumptions in detailed reports.
• Present validation results and risk assessments to senior management, model risk governance committees, and business stakeholders.
• Contribute to the establishment and promotion of model governance standards and best practices in IMD under Nomura Group’s Model Risk Management framework.
• Build collaborative partnerships with stakeholders while maintaining independent, principled challenge.

Requirements

• 3+ years of experience at VP or equivalent level in model validation, quantitative analysis, portfolio management, or risk management; demonstrated expertise in investment management strongly preferred.
• Master’s degree or higher in Math, Statistics, Economics, or related quantitative discipline.
• Expertise in at least one of the following areas:
• Risk Models related to Var or Counterparty exposure
• Pricing Models from one of the asset classes: Interest Rate/FX/Equity Derivatives/Credit
• Quantitative investment management, asset allocation, and portfolio optimization
• Risk management within asset management companies
• Corporate valuation methods
• Index calculation methodologies, including Quantitative Investment Strategies (QIS)

Qualifications and Knowledge Required

• Advanced proficiency in Python, R, and/or VBA for quantitative modeling and analysis.
• A team player with strong verbal and written communication skills.

Skills, experience, qualifications and knowledge required

• 3+ years of experience at VP or equivalent level in model validation, quantitative analysis, portfolio management, or risk management; demonstrated expertise in investment management strongly preferred.
• Master’s degree or higher in Math, Statistics, Economics, or related quantitative discipline.
• Expertise in at least one of the following areas:
• Risk Models related to Var or Counterparty exposure
• Pricing Models from one of the asset classes: Interest Rate/FX/Equity Derivatives/Credit
• Quantitative investment management, asset allocation, and portfolio optimization
• Risk management within asset management companies
• Corporate valuation methods
• Index calculation methodologies, including Quantitative Investment Strategies (QIS)

Benefits

Aon’s Benefit Index®, Nomura’s benefits rank #1 amongst our competitors

Pay

The pay range for this position at commencement of employment is expected to be between $160,000 and $190,000 annually.

Schedule

Nomura is an Equal Opportunity Employer