Risk Model Validation Analyst

  • Location:

    London

  • Sector:

    Banking

  • Job type:

    Permanent

  • Salary:

    Negotiable

  • Contact:

    Nomura

  • Contact email:

    matthew.fellows@nomura.com

  • Job ref:

    1180358_1599571317

  • Published:

    20 days ago

  • Expiry date:

    08/10/2020

  • Startdate:

    ASAP

  • Client:

    Nomura Careers

  • Consultant:

    Nomura

  • Hours per day:

    Flexible

  • Work preference:

    Flexible

  • Days per week:

    Flexible

JOB DESCRIPTION

Job title: Risk Model Validation Analyst

Corporate Title: Vice President

Department: Risk Management

Location: London

Department overview:

The Risk Model Validation Group (RMVG) is globally responsible for independently validating the integrity and comprehensiveness of Risk Models in the firm. RMVG also develops measures of Model Risk, monitoring Model Risk vs. the firm's Model Risk Appetite and escalates model approval breaches.

Key objectives critical to success:

Primary responsibility is to conduct model validation, including implementation tests and model risk analysis, of all internal models developed in Nomura Group. As a part of the global responsibilities, independent model validations of in-house Risk Models used for assessing the stability or business continuity of the Nomura Group from the view point of capital planning and capital adequacy, liquidity adequacy, recovery and resolution planning, appropriateness of Risk Appetite and routine risk management.

Skills, experience, qualifications and knowledge required:

Essential

  • A minimum of 6 years working experience in a quantitative environment
  • A postgraduate degree in a quantitative discipline
  • Established experience in quantitative financial models with a track of delivering results under tight timelines
  • Strong development skills
  • Strong verbal and written communication skills
  • Self-motivated work attitude

Desirable

  • Familiarity with Valuation and/or Risk Models (e.g. derivative pricing, counterparty credit risk models)
  • Familiarity with econometrics and general statistics
  • PhD (or equivalent) in a quantitative discipline