Nomura - Analyst/Associate - Global Risk - Risk Methodology FRTB

Global Risk - Risk Methodology FRTB - Analyst - Associate

Role & Responsibilities:

- Work closely with the Risk Methodologies Group (RMG) on the projects related to Regulatory capital models (eg. Basel,FRTB).

- Work on the prospective regulation i.e. FRTB, both SA & IMA.

- Ensure that the FRTB SA & IMA models meet their stated objectives by building robust SBA, RRAO, SA DRC, risk factor eligibility test tools, NMRF SES and IMA ESF methodologies.

- Act as a subject matter expert for the risk models including an understanding of 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.

- 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 using python to facilitate integration with FRTB implementation and offline calculation of risk numbers.

- Participate in periodic review of models and calibration of model parameters.

- Providing live trade support for VaR/RNIV/Add-on Computations and performing offline risk capital calculation business/products (periodically and on adhoc 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 backtesting and 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

- SIMM (Standardized Initial Margin Model) model

- FRTB SA & IMA models (adhoc tool development)

- Other risk models

Mind Set: Domain

Mandatory

- Good in python. Non-negotiable.

- Good in SQL / Excel. Even basic ability is acceptable.

- Gitlab understanding.

- FRTB SA knowledge. Basic knowledge is acceptable.

- VaR / Greeks / clarity in risk management , good thinker / problem solver

- Under graduation in Physics/Maths/as a second choice under graduation from Top engineering colleges. 2-7 years of experience either in Market risk or Credit risk with good understanding of risk modelling.

- Good understanding of mathematical concepts like probability, statistics, calculus, linear algebra.

- Good understating of financial products (Bonds, Derivatives)

Desired

- A strong Mathematical/Statistical background.

- Actuaries (Cleared at least 3 CT papers) would be advantage

- FRM/PRM/CFA certification would be added advantage