Nomura - Associate - Algorithmic Trading Model Validation Group - Risk Management Division

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

- Risk Methodology

- Model Validation

Business Unit Overview:

Model Risk Management is a group within Risk Management headed by the Global Head of Model Risk responsible for:

(1) Executing and maintaining an effective Model Risk management framework.

(2) Producing a consolidated view of Model Risk for comparison with the Model Risk Appetite.

(3) Independently validating the integrity and comprehensiveness of the Models in the Firm.

Due to the extension of the scope of the Model Risk Management process, the Firm is seeking to recruit a member of the newly established Algorithmic Trading Model Validation Group. The successful candidate will have a strong quantitative background and will be responsible for the independent validation of Nomura's Algorithmic Trading Models across a wide variety of asset classes / business lines.

Key objectives critical to success:

The current role will specifically cover the following areas:

- Independent Validation of Algorithmic Trading Models, including

Assessment of conceptual soundness of Algorithmic Trading Models, including the integrity and suitability of Model parameters

Implementation Testing

Model Risk Analysis - to identify, analyse and quantify Model Risk, which involves independent coding/development of the algorithmic trading strategy.

- Development and Execution of Model Performance Monitoring to ensure that Algorithmic Trading Models are performing as intended.

- Design and implementation of Model Risk Control processes for Algorithmic Trading Models

- Preparation of model review documentation

Keyskills

Qualification, Experience & Skills: Essential

- A working experience in a quantitative environment either as a Model Developer or Model Validator

- A graduate/postgraduate degree in a quantitative discipline

- Practical knowledge of optimization, statistics, and machine learning (e.g., classification, supervised and unsupervised learning)

- Hands-on experience with querying and analyzing big datasets, ideally high frequency tick data.

- Strong aptitude for code development and backtesting of trading strategies using python or similar.

- Excellent verbal & written communication skills in English and competent in delivering high-quality evidence-based reports.

- Self-motivated work attitude and ability to deal with various stakeholders.

Desirable

- Experience in scientific programming & data visualization in R or Python and its libraries (e.g.scikit-learn, tensorflow)

- Knowledge of q/kdb+

- PhD (or equivalent) in a quantitative discipline