This associate role within CRA Powai will be focusing on carrying out counterparty risk model development and performance review tasks for various Nomura group legal entities including US and EMEA regions.
- Provide analysis and consultation on credit risk quantification. Work closely with global development teams on implementation of models and systems
- Work on various regulatory requirements including Back testing, Model Performance reviews, Calibration, User Acceptance Testing, Documentation of models, etc.
- Implement 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).
- Collaborate with Risk IT in the strategic implementation of various initiatives
- Participate in periodic model performance review and calibration of model parameters.
- To aid regulatory reviews and inspections by providing necessary analysis.
Key Skills:
Domain
- Sufficient exposure to quantification of counterparty risk and regulatory landscape.
- Basic understanding of stochastic calculus, Derivative pricing, Monte Carlo Simulation.
- Proficiency in Excel-VBA/Python
- Strong verbal and written communication skills
- Organizational skills, multi-tasking and detail oriented
- Delivery focused with the ability to work well under pressure and meet deadlines under compressed timescales
