Job title: Quantitative Analyst
Corporate Title: Analyst
Department: Risk Management
Duration: Initially for 6 months with potential for a permanent placement.
Nomura is a leading financial services group and the preeminent Asian-based investment bank with worldwide reach. Nomura provides a broad range of innovative solutions tailored to the specific requirements of individual, institutional, corporate and government clients through an international network in over 30 countries. Based in Tokyo and with regional headquarters in Hong Kong, London, and New York, Nomura employs over 27,000 staff worldwide. Nomura's unique understanding of Asia enables the company to make a difference for clients through three business divisions: retail, asset management, and wholesale (global markets and investment banking).
The Risk Department at Nomura is broadly organised according to the main risk classes; Risk Management (Market risk and credit exposure measurement), Investment Evaluation and Credit (Credit), and Operational Risk. The Risk Department provides senior management with an independent view of the principal risks taken by individual business units. The risk profile of Nomura arises from trading in Equities, FX, Credit, Rates and Commodities and from cash as well as vanilla and structured derivatives.
The Credit Risk Analytics group is part of the Risk Methodology function within Risk Management. Credit Risk Analytics is responsible for the research and development of the Firm's credit exposure models. These models are used to measure and manage counterparty credit risk on a portfolio basis, to estimate regulatory/economic capital and CVA charges and to support the risk assessment of new trades. The group has a vacancy for a Quantitative Analyst in the London office; the role is initially for a period of 6 months, with the potential for conversion to a permanent position thereafter.
The key objectives and responsibilities of the role are set out below:
- Research and development of new counterparty exposure analytics.
- Business analysis and development of modelling prototypes.
- Provision of business-as-usual support for the exposure, and regulatory capital (IMM) models, including review and sign-off of PE, EPE, exposure stress testing & monitoring of the model performance.
- Provision of quantitative support to the trading desks for pre-deal portfolio risk and regulatory/economic capital analysis.
Skills, experience, qualifications and knowledge required:
- Strong analytical and problem solving skills.
- Master's or PhD degree in a quantitative field.
- Experience in programming in Python, Java, C++, VBA or similar.
- Knowledge of financial mathematics and stochastic processes.
- Knowledge of OTC derivatives and/or securities financing modelling techniques.
- Experience in modelling counterparty exposure and Basel regulatory requirements.