Company overview

Nomura is a global financial services group with an integrated network spanning over 30 countries and regions. By connecting markets East & West, Nomura services the needs of individuals, institutions, corporates and governments through its three business divisions: Retail, Wholesale (Global Markets and Investment Banking), and Investment Management. 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.

Aon’s Benefit Index®, Nomura’s benefits rank #1 amongst our competitors

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.

Role description:

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 New York office.

The key objectives and responsibilities of the role are set out below:

Research and development of new counterparty exposure analytics for FRTB SA-CVA and IMM.
Business analysis and development of modelling prototypes.
Support for the validation and testing of the new models.
Model documentation and maintenance.
Provision of quantitative support for the counterparty exposure and regulatory capital models, including pre-deal portfolio analysis for the trading desk.

Skills, experience, qualifications and knowledge required

Required:

Experience of 3-5 years or more in similar role.
Strong analytical, computing and problem solving skills.
Master’s or PhD degree in a quantitative field.
Good knowledge of financial instruments and the financial markets, including risk and pricing models
Experience in programming in Python, C++ or similar.
Desirable:
Experience in modelling counterparty exposure and regulatory capital requirements under Basel III / FRTB CVA.

Nomura is an Equal Opportunity Employer

Nomura

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