Model Risk - Investment Management

Role Description

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; monitors Model Risk vs. the firm’s Model Risk Appetite and escalates model approval breaches.

We are seeking an experienced Vice President to join our Model Validation Group (MVG) with primary responsibility for reviewing and validating models utilized across the Investment Management Division (IMD), including Nomura Asset Management International. In this role, you will provide independent validation oversight for sophisticated quantitative models that are critical to our global investment management operations.

• 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.

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