Division 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.

Business Unit Overview:

The Risk Methodologies Group (RMG) has the mandate to develop / enhance risk models in line with internal and regulatory requirements and to back-test VaR against Hypo and clean PnL. The methodologies side of the group has the critical task of owning all the risk models that are used for computing capital adequacy for the whole firm, and the back-testing group of adjusting and updating Hypo PnL using adjustments provided by various different systems. The group works extensively on the regulatory capital model, including the proposed regulation, fundamental review of trading book (FRTB).

Position Specifications:

Corporate Title	Vice President
Functional Title	Vice President
Experience	8 - 10 years
Qualification	Master's in quantitative discipline (B.E / B. Tech+, M. Tech, MSc (Maths / Stats/ Physics), Econometrics)

Role & Responsibilities:

Work closely with different stakeholders including Front Office, Risk Managers, IT and Risk Methodologies Group (RMG)on projects related to Regulatory capital models (eg. FRTB).
Perform firm wide plus desk level analysis to assess the impact of new regulation and support in quantitative impact study (QIS).
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.
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, IMA DRC and IMA ESF methodologies.
Development of proto-type models related to Model performance Monitoring of FRTB models.
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 deal analysis/RWA driver analysis/NMRF Add-on/PnL Adjustment/Back testing using python to facilitate integration with FRTB implementation and offline calculation of risk numbers.
Build FRTB based What-If prototype tools in collaboration with Business / Risk Managers for new portfolio / hedge impact analysis
Participate in periodic review of models and calibration of model parameters.
Provide necessary support to team during validation of market risk models by Model validation group/Audit including any model change on an ongoing basis.

Need to handle stakeholder requests (typically FO and Risk Managers) on RWA optimization and What-If analysis. This would involve:

Working with stakeholders across different timezones to understand their requests
Running and explaining What-If scenarios (e.g. different split of IMA/SA desk scenarios, pre-trade capital impact etc.)
Understanding of capital allocation methodologies (e.g Euler) to accurately identify key drivers of capital
Preparing the necessarily materials to explain the results
Presenting the results to stakeholders

Support with building tools that help in making the above processes more time-efficient
Holding technical workshops to educate stakeholders on how FRTB SA and IMA models work

Mind Set:

Mandatory

Desired

Domain

Need to have expertise on all FRTB capital models as well as PLA/ RFET. Need to have already worked on SA and IMA models
Experience with handling stakeholder requests (typically FO and Risk Managers)

Strong Market Risk RWA modelling background (preferably on FRTB SA and IMA models) and coding skills in Python

Good in SQL / Excel. Even basic ability is acceptable.
Gitlab understanding.
VaR / Greeks / clarity in risk management.
8-10 years of experience in Market 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)

A strong Mathematical/Statistical background.
Actuaries (Cleared at least 5 CT papers) would be advantage
FRM/PRM/CFA certification would be added advantage

We are committed to providing equal opportunities throughout employment including in the recruitment, training and development of employees. We prohibit discrimination in the workplace whether on grounds of gender, marital or domestic partnership status, pregnancy, carer's responsibilities, sexual orientation, gender identity, gender expression, race, color, national or ethnic origins, religious belief, disability or age.

.Applying for this role does not amount to a job offer or create an obligation on Nomura to provide a job offer. The expression Nomura refers to Nomura Services India Private Limited together with its affiliates.

.The benefits are subject to change and will be in accordance with Company's policies as may be applicable from time to time).

RSK-Risk Methodology Group