Nomura - Associate - Global Risk - Model Validation Risk Model

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 Validation:

The Model Validation Group (MVG) is globally responsible for independently validating the integrity and comprehensiveness of Risk Models and Valuation Models in the firm. MVG also develops measures of Model Risk, monitoring Model Risk vs. the firm's Model Risk Appetite and escalates model approval breaches.

The current position is in Risk Model Validation space. The models covered could range across

- Regulatory Capital Models (FRTB IMA and SA, Basel 2.5)

- Economic Risk Models

- Stress Testing

- Trading Winddown

Role & Responsibilities:

- Review internally and externally developed Risk Models across the below categories-

- Regulatory Capital Models (FRTB IMA and SA, Basel 2.5)

- Economic Risk Models

- Stress Testing

- Trading Winddown

- Validations would include reviewing the theoretical assumptions and the implementation of the model e.g. setting up independent benchmarking tools for testing of various scenarios & boundary conditions for complex models.

- Model Risk Analysis

- Preparation of model review documentation