Vice President

1 week ago


Singapore NOMURA SINGAPORE LIMITED Full time

**Company overview**

Aon’s Benefit Index®, Nomura’s benefits **rank **#1 **amongst our competitors

**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 comprises:

- Market Risk Management
- Credit Risk Management
- Risk Methodology
- Model Risk Management

**Business Unit Overview**

The Model Validation Group is a global team which validates and documents all in-house trading and risk models across all divisions and geographical locations. The Model Validation Group works closely with both the front office quantitative research teams and product control and the role consequently offers significant exposure to Pricing and Risk management models/ methodologies. The current position will focus mainly on validation of Interest Rate models.

**Responsibilities**
- Ensure that the model meets its stated objective
- This would include reviewing the theoretical assumptions and the implementation of the model - for instance, setting up independent benchmarking tools for testing of various scenarios & boundary conditions of complex models.
- Ensure model suitability in terms of pricing, risk management of in scope products
- Preparation of model review documentation
- Model risk analysis
- Ongoing Model Performance Monitoring
- Validation of Model reserve calculations implemented in Front Office systems
- This current role will look mainly into validation ofIR models -BGM, HJM, QGMF, SABR etc with the numerical methods used being PDEs, trees, Monte Carlo

**Qualification, Experience & Skills**:

- Post Graduate qualification in a quantitative field
- 4-8 years’ experience in front office quant development or model validation role
- Good understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference)
- Competency in one or more major programming languages (C++, python) required (at the very least exposure to procedural programming)
- Knowledge of elementary algorithms and data structures
- Attention to detail
- Good written communication in English
- Interest Rate e.g. Libor Market Model, HJM, Models of the short-rate
- Equity e.g. Pricing of Exotic Payoffs (like Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston etc.)
- Credit e.g. Pricing of Credit derivatives, CVA calculation
- FX e.g. Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)

**Diversity Statement**

Nomura is committed to an employment policy of equal opportunities, and is fundamentally opposed to any less favourable treatment accorded to existing or potential members of staff on the grounds of race, creed, colour, nationality, disability, marital status, pregnancy, gender or sexual orientation.

**DISCLAIMER**:This Job Description is for reference only, and whilst this is intended to be an accurate reflection of the current job, it is not necessarily an exhaustive list of all responsibilities, duties, skills, efforts, requirements or working conditions associated with the job. The management reserves the right to revise the job and may, at his or her discretion, assign or reassign duties and responsibilities to this job at any time.
- Nomura is an Equal Opportunity Employer**TSID: 1221268



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