Stress Testing Associate

Nomura Holdings, Inc.; Greater London; On-site; GBP 90,000 - 130,000; Full time

Job summary

Nomura Holdings, Inc. in the United Kingdom seeks a specialist in stress testing to advance risk models for market and counterparty credit risk. You will develop prototype models, implement them into risk systems, and ensure regulatory alignment with governance processes.

Join a team within the Risk Management Division and collaborate with validation, treasury and other groups to deliver robust, auditable stress testing solutions using Python and GitLab workflows.

Qualifications

• Experience in market or credit risk with risk modelling.
• Strong mathematical and statistical knowledge.
• Masters in a related field.
• Proficiency in Python, SQL, Matlab, VBA.
• Knowledge of financial products (bonds, derivatives).
• FRM/PRM/CFA certification would be advantageous.
• Experience with stress testing or regulatory models is preferred.

Responsibilities

• Collaborate with Stress Testing Group and Validation to develop frameworks.
• Develop and update prototype models for market risk and counterparty credit risk.
• Implement stress testing models into risk systems with governance documentation.
• Act as SME for stress testing models and support model users.
• Work on stress testing guidelines and conduct firm-wide analyses.
• Create strategic tools for stress testing using Python and GitLab migration.
• Participate in model reviews and parameter calibration.
• Support validation and audit during model changes.

Skills

Risk modelling

Mathematical background

Probability & statistics

Monte Carlo methods

AI applications

Education

MSc in a related discipline

Actuarial CT papers

FRM/PRM/CFA awareness

Tools

Python

SQL

Matlab

VBA

GitLab

Job description

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Nomura is a financial services group with an integrated global network. By connecting markets East & West, we service the needs of individuals, institutions, corporates and governments through our four business divisions: Wealth Management, Investment Management, Wholesale (Global Markets and Investment Banking) and Banking.

Driven by the insights of some 28,000 people worldwide, we put our clients at the center of everything we do, delivering unparalleled access to, from and within Asia. For further information about Nomura, visit www.nomura.com

Department 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 Stress Testing analytics (STA) is part of the Global Risk Methodology Group (RMG); it has the mandate to develop, enhance and maintain stress testing and other models in line with internal and regulatory requirements, and guidelines provided in the Stress testing framework. The team is further responsible for the proper documentation, development and application of governance, as well as presenting to internal stakeholders and regulators models regarding stress testing and financing risk.

The group is involved with the stress testing models that are used for computing capital adequacy and reporting for the whole firm under various regulator(s) provided scenarios or internal scenarios. The team works extensively on the regulatory and economic capital models applied under stress scenarios for market, counterparty credit, operational and other risks, while also owning models pertaining to the construction and expansion of these scenarios. The particular role is to predominantly focus on the stress credit counterparty risk models, including Stressed Default Loss, TWD Credit RBLs, Stressed BA CVA and others. The stakeholder is expected to work closely with other team members as well as other stakeholders such as model owners, IT and model validation group.

Role Description:

• Work closely with the Stress Testing Group (STG), Model Validation Group, Treasury, and other groups on the projects related to Stress Testing Framework.
• Development and periodic update of proto-type models with special attention to the model related to Market risk and Counterparty Credit Risk.
• Implementation of stress testing 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).
• Act as a subject matter expert for the stress testing models and providing support to the model users (i.e. stress testing group/Finance) and be a key point of contact with respect to such models.
• Work on the stress testing guidelines, perform firm wide analysis and to assess the impact of stress testing models.
• Create strategic tools for stress testing models using python and migrating to GITLAB.
• Participate in periodic review of models and calibration of model parameters.
• Provide necessary support to Model validation group/Audit team during validation of stress testing models including any model change on an ongoing basis.
• Adhere to all governance as laid out in related Policies and Procedures.

Skills, experience, qualifications and knowledge required:

• experience either in Market risk or Credit risk with good understanding of risk modelling. Credit experience is preferred.
• Very good grasp and understanding of mathematical concepts like probability, statistics, stochastic calculus, linear algebra, Monte Carlo techniques.
• MSC in a related discipline
• Good knowledge of Python, SQL, Matlab, VBA.
• Good understating of financial products (Bonds, Derivatives)
• A strong Mathematical/Statistical background.
• Actuaries (Cleared at least 3 CT papers) would be advantage
• FRM/PRM/CFA certification would be added advantage.
• Familiar with AI and related applications.
• Explore Insights & Vision: Identify the underlying causes of problems faced by you or your team and define a clear vision and direction for the future.
• Making Strategic Decisions: Evaluate all the options for resolving the problems and effectively prioritize actions or recommendations.
• Inspire Entrepreneurship in People: Inspire team members through effective communication of ideas and motivate them to actively enhance productivity.
• Elevate Organizational Capability: Engage proactively in professional development and enhance team productivity through the promotion of knowledge sharing.
• Inclusion: Respect DEI, foster a culture of inclusion and psychological safety in the workplace and cultivate a "Risk Culture" (Challenge, Escalate and Respect).

Right to Work

The UK Government have taken steps to reduce net migration to the UK by limiting the number of overseas workers coming to the UK for employment. Please note that whilst we are able to consider applications from overseas workers from outside the UK (who require a Tier 2 Skilled Worker visa) we can only employ them if we can provide evidence that this is a genuine vacancy for a qualified role.

Diversity & Inclusion

Nomura is an equal opportunity employer. We value diversity and are committed to ensuring we best reflect the diversity of the communities we serve creating an inclusive environment for all our employees. We welcome all applications and do not discriminate on the basis of age, disability, gender identity and gender expression, pregnancy and maternity, marriage and civil partnership, race, religion or belief, sex or sexual orientation.

If you require any assistance or reasonable adjustments due to a disability or long-term health condition, please do not hesitate to contact us.