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Nomura Holdings

Compare

3.9

based on 498 Reviews

169 Nomura Holdings Jobs

RSK Analyst-Risk Methodology Group

NOMURA CAPITAL (INDIA) PRIVATE LIMITED

3.9

based on 498 Reviews

1-3 years

₹ 2 - 22L/yr (AmbitionBox estimate)

Mumbai

1 vacancy

RSK Analyst-Risk Methodology Group

Nomura Holdings

posted 18hr ago

Job Role Insights

Flexible timing

Key skills for the job

Investment Banking SQL Auditing Information Technology Econometrics Risk Management

+ 4 more

Job Description

Experience

1 - 3 years

Qualification

Bachelors/Masters in Quantitative discipline (B.E / B. Tech+, M. Tech, MSc (Maths / Stats), Econometrics)

Role & Responsibilities:

Work closely with the Risk Methodologies Group (RMG) on the projects related to Regulatory and Economic risk capital models.
In addition to Basel2.5, work on the prospective regulation, i.e., FRTB, if required. Perform firm wide plus desk level analysis to assess the impact of existing and new regulations.
Act as a subject matter expert for the risk models including an understanding of Basel2.5 & FRTB guidelines and providing support to the model users (i.e., Risk managers) and be a key point of contact with respect to such models.
Development and periodic update of proto-type models with special attention to the model related to Market risk VaR.
Work on the Event Risk models including model development, maintenance and model enhancement.
Implementation of risk models into strategic risk system (this includes developing methodology, building prototype, writing technical business requirement document, performing model testing, ensure compliance with regulatory requirements and liaising with model validation group).
Create strategic tools for VaR/RNIV/Add-on/PnL Adjustment/Event risk using python to facilitate integration with Basel2.5 implementation and offline calculation of risk numbers.
Participate in periodic review of VaR and Event Risk models and calibration of model parameters.
Providing live trade support for VaR/RNIV/Add-on/Event Risk computations and performing offline risk capital calculation business/products (periodically and on ad-hoc basis).
Provide necessary support to team during validation of VaR models by Model Validation Group/Audit including any model change on an ongoing basis .
Contribute in periodic model performance monitoring which is a critical aspect of ensuring that models are functioning as intended, for the following models:
- Firm s internal VaR model
- Other risk models such as Event Risk and Economic Risk

Mind Set:

Mandatory

Desired

Domain

1-3 years of experience either in Market risk and/or Credit risk with good understanding of risk modelling.
Good understanding of mathematical concepts like probability, statistics, calculus, linear algebra.
Good knowledge of Python, SQL, Matlab, VBA.
Good understating of financial products (Bonds, Derivatives)
Good understanding of ongoing banking regulatory requirements (BCBS)