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Associate
Company Information
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
• Associate level position in Global Model Validation Group with major responsibility for validating models used for securitized products
• Based in New York City
• Evaluation of model assumptions and review of model implementation to ensure it is consistent with its theoretical basis and that it is working correctly
• Benchmark models against alternative models, including developing models or component of the models in the independent benchmark library. Investigate and evaluate the reasonableness of any differences, recommend/define any measurement to account for any shortcomings
• Identify, analyse and quantify any potential model risk, including sensitivity to model assumptions, model calibration, model performance, stability of the model outputs, etc.
• Write up a comprehensive model validation documentation
• Running of the required processes such as periodic model review, model performance monitoring and Model Risk control processes, etc.
• 1 to 3 years of experience from working in a model validation or a FO quantitative group at a major financial institution and familiarity with the following models is strongly preferable (but not a requirement)
- MBS/ABS models (prepayment modelling, OAS valuation)
- Interest rate modelling (short-rate models, HJM/BGM)
- Risk models (VaR, Counterparty Exposure, etc.)
• PhD/Postgraduate degree in Statistics, Mathematics, Physics, computing science or similar education,
• Strong programming skills in Python/R/C++
• Team player with strong communication skills, verbal as well as written