Head of Algorithmic Trading Model Validation, ED

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    about 2 months ago

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Job title: Head of Algorithmic Trading Model Validation
Corporate Title: Executive Director
Department: Risk Management
Location: London
Company overview:
Nomura is an Asia-based financial services group with an integrated global network spanning over 30 countries. By connecting markets East & West, Nomura services the needs of individuals, institutions, corporates and governments through its three business divisions: Retail, Asset 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
Business unit 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.
Key objectives critical to success:
Due to the extension of the scope of the Model Risk Management process, the Firm is seeking to recruit a Head for the newly established Algorithmic Trading Model Validation Group (AMVG) directly reporting to the Global Head of Model Risk. The successful candidate will have a strong quantitative background and will oversee and be responsible for the independent validation of Nomura's Algorithmic Trading Models across a wide variety of asset classes / business lines.
The team (initially comprising 3 members) will be responsible for:
  • Independent Validation of Algorithmic Trading Models, including
  • Assessment of conceptual soundness of Algorithmic Trading Models, including the integrity and suitability of Model parameters
  • Implementation testing
  • Model Risk Analysis - to identify, analyse and quantify Model Risk
  • Development and Execution of Model Performance Monitoring to ensure that Algorithmic Trading Models are performing as intended
  • Design and implementation of Model Risk Control processes for Algorithmic Trading Models
  • In addition to leading the team, the Head of AMVG will represent the function in applicable Model Risk Management Committees and meetings with auditors and regulators.
Skills, experience, qualifications and knowledge required:
  • A minimum of 7 years working experience in a quantitative environment
  • A postgraduate degree in a quantitative discipline
  • Established experience in Algorithmic Trading as a Model Developer or Model Validator
  • Practical knowledge of optimization, statistics and machine learning
  • Strong Model development skills
  • Excellent verbal and written communication skills in English
  • Ability to work in a fast-paced environment managing multiple stakeholders and conflicting deadlines
  • Familiarity with Valuation Models across different asset classes
  • PhD (or equivalent) in a quantitative discipline
  • Managerial experience