Stress Testing Associate, Risk Analytics (London)

LGBT Great; Greater London; Hybrid; GBP 70,000 - 110,000; Full time

Job summary

Nomura in London is seeking a Stress Testing Associate within its Risk Management Division. The role focuses on developing, maintaining and applying stress testing and related models across market and counterparty credit risk.

You will work with the Stress Testing Group, Model Validation and IT to implement models, calibrate parameters and produce governance-ready documentation for regulators and internal stakeholders.

Qualifications

• Experience in Market risk or Credit risk with good understanding of risk modelling.
• Strong mathematical background with probability, statistics, stochastic calculus.
• MSc in a related discipline.
• Knowledge of Python, SQL, Matlab, VBA.
• Knowledge of bonds and derivatives.
• FRM/PRM/CFA certification would be an added advantage.
• Familiar with AI and related applications.

Responsibilities

• Work closely with the Stress Testing Group on projects related to the Stress Testing Framework.
• Development and periodic update of prototype models with emphasis on Market risk and Counterparty Credit Risk.
• Implementation of stress testing models into strategic risk system, including BRD, testing and regulatory compliance.
• Act as a subject matter expert for stress testing models and support model users.
• Work on stress testing guidelines and perform firm-wide impact analysis.
• Create strategic tools for stress testing models using Python and migrating to GitLab.
• Participate in periodic model reviews and calibration of parameters.
• Provide support to Model Validation and Audit during validation.

Skills

Risk modelling

Probability

Statistics

Stochastic calculus

Linear algebra

Monte Carlo techniques

Python

SQL

MATLAB

VBA

Derivatives knowledge

Education

MSc in a related discipline

Tools

Python

SQL

MATLAB

VBA

Job description

Nomura in London is seeking a Stress Testing Associate within its Risk Management Division. The role focuses on developing, maintaining and applying stress testing and related models across market and counterparty credit risk.

You will work with the Stress Testing Group, Model Validation and IT to implement models, calibrate parameters and produce governance-ready documentation for regulators and internal stakeholders.