Global Risk – Quantitative Risk Management - Model Validation

Nomura Overview:

“Nomura is an Asia-headquartered 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”.

Nomura Services India, (Powai) supports Nomura’s businesses around the world. Powai’ s world
class capabilities in trading support, research, information technology, financial control, operations,
risk management and legal support have played a key role in facilitating Nomura’s global operations
and are an integral part of Nomura’s global expansion plans. The Powai operation is a critical part of
the platform to support the growth of Nomura’s global business.

Divisional Overview:

The Risk Management Division encompasses the firm's comprehensive risk framework responsible
for determining and managing the overall risk appetite for the firm. The division is responsible for
effectively managing the firm's risk-return profile which ensures the efficient deployment of the
firm's capital. It is one of the firm's core competencies and is independent of the trading areas and
operational areas. The Risk Management Division in India comprises:

 Market Risk Management

 Credit Risk Management
 Quantitative Risk Management
 Operational Risk Management
 Data Integrity Group

Business Unit Overview:

Quantitative Risk Management- Model Validation:

The Model Validation Group (MVG) is globally responsible for independently validating the
integrity and comprehensiveness of Risk Models and Valuation 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.

Position Specifications:

Qualification Grad/PostGrad/Phd in a highly quantitative field

Role & Responsibilities:

 Review models (Risk and Stress Testing models) - Ensure that the model meets its stated
objective. This would include reviewing the theoretical assumptions and the implementation
of the model - for instance, setting up independent benchmarking tools for testing of various
scenarios & boundary conditions of complex models.

 Model Risk Analysis

 Preparation of model review documentation

 The current role will specifically look into following areas


Validation of risk models (counterparty exposure, VaR etc) and/or

Validation of stress testing models – 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.

 Activity is often project-based, being driven by various regulatory requirements (e.g.

Industry-Wide Stress Testing).

Mandatory
Qualification, Experience & Skills:
Basic understanding of stochastic calculus, numerical techniques for
derivatives pricing (Monte Carlo / Finite Difference) and comfort level with
one / more programming languages is expected
Familiarity with econometrics or general statistics is desirable

In particular, depending on asset class, we are looking for candidates with

knowledge / experience in one or more of the following areas:
Domain
a. Interest Rate: Libor Market Model, HJM, Models of the short-rate
b. Equity: Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.),
Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)
c. Credit: Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA
calculation
d. FX: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)
e. Risk Models: Value at Risk, Counterparty Risk Exposure models
f. Stress Testing models
Nomura Core Competencies:

Competencies Behavioral Indicators

Contributes to desired culture
Culture & Conduct
Sets positive example
Building Nomura’s Culture,
Aware of different values/styles
Diversity & Inclusion, Professional
Holds high standards of behavior
Integrity, Self-Awareness
Aware of own strengths/weaknesses
Understands current market
Client-Centricity & Business Acumen
Anticipates client needs
Commerciality, Client-Centricity,
Pays attention to detail
Analytical Thinking & Problem Solving
Sees problems, recommends solutions
Balances alternative views
Strategy & Innovation
Knows when to decide/when to escalate
Strategic Thinking & Change,
Champions new ideas
Decision Making & Judgment,
Is both disciplined and entrepreneurial
Agility
Sees when to escalate
Leadership & Collaboration
Thinks differently
Managing Talent,
Balances alternative views
Recognizing and Motivating Supporting,
Knows when/how to compromise
Developing
Learns from experience
& Collaborating with others,
Seeks to develop
Managing Conflict
Assists in recruiting
Communication & Connectivity
Gives credit
Articulation & Receptiveness, Impact
Builds productive working relationships
Connectivity
Provides constructive, timely and specific feedback
Adjusts style to suit topic
Balances listening/talking
Communication & Influence Communicates with clarity and consideration
Articulation and Receptiveness, Is a proven and credible resource
 Impact, Connectivity Questions to understand others’ views
Builds internal contact network
Willingly effectively works across teams
Demonstrates accountability/commitment
Execution & Delivery Takes on challenging assignments
Driving Performance, Executes priority actions on-time
Execution-Focus, Keeps stakeholders updated
Planning & Organizing Adaptability Manages expectations
Persists when confronted with resistance