Risk Management - Risk Methodology - Model Performance & Monitoring - Analyst / Senior Analyst

Nomura; Mumbai; On-site; INR 1,200,000 - 2,400,000; Full time

Job summary

Nomura in Mumbai, within the Risk Management Division, seeks Analyst/Senior Analyst to monitor model performance and backtesting of VaR and FRTB. You will work on SIMM monitoring and regulatory reporting with Python, SQL and Power BI, collaborating with risk managers and front-office quants.

You will also contribute to development projects, including Python automation and EUC tools, while maintaining comprehensive documentation and ensuring timely BAU deliverables.

Qualifications

• 1-4 years of experience either in Market risk or Product control with understanding of risk (VaR) & P&L.
• Fair understanding of programming and database languages such as Python, SQL, VBA and GITLAB.
• FRM/PRM/CFA certification would be added advantage.
• Understanding of other tools such as Power BI,GIT, etc.
• Fair understanding of FRTB backtesting and PLA test.

Responsibilities

• Periodic Backtesting and Model Performance Monitoring (MPM) to ensure models are accurate and relevant.
• Backtesting of the firm’s internal VaR and FRTB models and PLA testing across desks.
• SIMM model monitoring, backtesting methodology development and exception analysis.
• Report generation and stakeholder communication with risk managers and front office quants.
• Support development projects including automation and Python migrations, and maintaining documentation with GitLab.

Skills

Python

SQL

VBA

GitLab

Education

Master’s in finance/economics or similar

Tools

Power BI

Git

Job description

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. The Risk Management Division in India comprises:

• Data Integrity Group

Business Unit Overview:

The role is within the Model Performance & Monitoring function, which ensures models operate as intended through Periodic Backtesting and ongoing performance assessments, including SIMM/VaR back-testing activities. This function is one of five specialized areas within the Risk Methodologies Group (RMG), alongside Market Risk, Economic Capital, Market and Counterparty Stress Testing, and FRTB.

What We Offer:

• We support employee wellbeing by ensuring a sense of purpose and belonging.
• We offer a comprehensive range of wellbeing services which allows employees to get access to the assistance they need at any point in their wellbeing journey.

Our bespoke benefits support employees and their family’s holistic wellbeing and are inclusive of diverse identities and family structures.

Position Specifications:

Corporate Title: Analyst

Functional Title: Analyst/Senior Analyst

Experience: 1 - 4 years

Qualification: Master’s in finance/economics or similar

Working Shift: EMEA

Requisition No.: 14190

Role & Responsibilities:

Periodic Backtesting and Model Performance Monitoring (MPM) is a critical aspect in ensuring that models are functioning as intended. It involves monitoring the model's outputs, inputs, and performance metrics to ensure that the model is still accurate and relevant. Timely monitoring and analysis of model performance results can help mitigate model risk and improve the model's accuracy and effectiveness. The responsibilities include the following:

• Periodic backtesting/ performance monitoring of the following models:
• Firm’s internal VaR model
• FRTB internal models (via backtesting and P&L attribution test (PLA))
• Other risk models
• Daily Backtesting of firm’s internal VaR model including FRTB models and related analysis at entity as well as desk level. It also involves detailed analysis across product classes and risk factors.
• SIMM (Standardized Initial Margin Model) model monitoring and reporting, which involves development and ownership of the backtesting/benchmarking methodology, identifying risk not in SIMM and in depth analysis on exception drivers by working across product classes.
• Analyse and review the backtesting exceptions with Risk managers and Product control and highlight deficiencies (if any) in the model.
• Good understanding of risk factors, sensitivity/greeks, valuations and trade lifecycle.
• Good understanding of financial products (bond, derivatives) and accounting/risk management processes around them.
• Working on various regulatory driven weekly, monthly and quarterly tasks which also involves reporting to external regulators and senior stakeholders.
• Work on various development projects including automation/migration of existing model to Python, PowerBI based EUC and maintain proper documentation by using tools such as Gitlab.
• To act as a subject matter expert for the related risk models and providingsupport to the model users (i.e. Risk managers)
• Interact with senior stakeholders across divisions such as Front office Quants, Finance, Risk management and IT to resolve issues.
• Discuss the results of backtesting in monthly forums with senior members in Risk management.
• Execute routine BAU tasks efficiently and accurately within the established framework and agreed-upon SLAs.
• This role centres on producing timely and accurate reports. It requires strong attention to detail, the ability to work efficiently under pressure, and a commitment to maintaining high standards in a fast-paced financial environment.
• The role demands adaptability to changing market conditions, including the willingness to extend work hours during periods of market volatility. Candidates should be prepared to adjust their schedules as needed to meet critical deadlines and operational requirements.

Mind Set:

• 1-4 years of experience either in Market risk or Product control with understanding of risk (VaR) & P&L.
• Strong inclination towards managing daily BAU deliverable and driver analysis
• Fair understanding of programming and database languages such as Python, SQL, VBA and GITLAB
• Good understanding of financial products and its valuation.
• FRM/PRM/CFA certification would be added advantage
• Understanding of other tools such as Power BI,GIT, etc
• Fair understanding of FRTB backtesting and PLA test.