Model Risk - Securitized Products

Nomura Holdings, Inc.; New York (NY); Hybrid; USD 115,000 - 135,000; Full time

Job summary

Nomura Holdings, Inc. in New York is seeking an Associate for the Model Validation Group to validate models used in mortgage and securitized products. You will evaluate model soundness, monitoring frameworks, and outcomes, and quantify model risk with robust documentation.

The role requires 1–3 years of experience in model validation, strong Python/R/SQL skills, and excellent communication. This is a full‑time, on‑site position in New York with competitive compensation and benefits.

Qualifications

• 1–3 years of model validation experience at a major financial institution.
• PhD/PG degree in Statistics, Mathematics, Physics, computing science or related field.
• Strong programming skills in Python, R, SQL.
• Excellent verbal and written communication; team player.

Responsibilities

• Validate models used across the Agency mortgage and securitized products businesses.
• Evaluate model soundness, monitoring frameworks, and outcomes.
• Identify and quantify potential model risk and robustness of outputs.
• Produce validation documentation and risk-based assessments.
• Execute model risk management processes, reviews and monitoring.

Skills

Python

R

SQL

Communication

Education

PhD / Postgraduate degree in Statistics, Mathematics, Physics or Computing Science

Tools

MBS/ABS models

Interest rate modelling

Risk models

Job description

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Job Code: 14727

Country: US

City: New York

Skill Category: Risk

Description

Job Title: Model Risk – Securitized Products

Corporate Title: Associate

Department: Risk Management

Location: New York

The pay range for this position at commencement of employment is expected to be between $115,000 and $135,000/year * (see below footnote for additional compensation and benefits information).

Company overview

Nomura is a financial services group with an integrated global network.By connecting markets East & West, we service the needs of individuals, institutions,corporatesand 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

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

Division Overview

Nomura's Risk department plays a crucial role in identifying, assessing, and mitigating risks across our business. We strive to protect the firm's assets, reputation, and financial stability by implementing robust risk management practices. Join our team and contribute to our proactive approach in managing risks, allowing us to make informed decisions and thrive in an ever-changing market environment.

Role Description

• An associate-level position in the Model Validation Group, responsible for validating models used across the Agency mortgage and securitized products businesses.

• Evaluate model conceptual soundness, ongoing monitoring frameworks, and model outcomes to assess appropriateness for intended use.
• Identify, analyze, and quantify potential model risk, including sensitivity to assumptions, calibration accuracy, performance stability, and robustness of model outputs.
• Produce comprehensive model validation documentation, including validation findings and risk-based assessments of model limitations and assumptions.
• Execute critical model risk management processes, including periodic model reviews, model performance monitoring and model risk control frameworks .

Skills, experience, qualifications and knowledge required

• 1 to 3 years of experience from working in a model validation or a FO quantitative group at a major financial institution.
• Familiarity with the following models is strongly preferable (but not a requirement)
  • MBS/ABS models (prepayment/mortgage credit modelling, OAS valuation)
  • Interest rate modelling (short-rate models, HJM/BGM)
  • Risk models (VaR, Counterparty Exposure, etc.)
• PhD/Postgraduate degree in Statistics, Mathematics, Physics, computing science or similar education.
• Strong programming skills in Python/R/SQL.
• A team player with strong verbal and written communication skills.

Nomura Leadership Behaviours

• 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 : Foster a culture of inclusion and psychological safety in the workplace and cultivate a "Risk Culture" (Challenge, Escalate and Respect).

*base pay offered may vary depending on multiple individualized factors, including market location, corporate and functional title and duties, job-related knowledge and advanced degrees, skills, and experience. The total compensation package for this position may also include other elements, including a sign‑on bonus, restricted stock units, discretionary awards and eligibility for commissions for applicable sales roles in addition to a full range of medical, financial, and/or other benefits (including 401(k) eligibility and various paid time off benefits, such as vacation, sick time, and parental leave), dependent on the position offered. Details of participation in these benefit plans will be provided if an employee receives an offer of employment.

If hired in the U.S., employee will be in an "at-will position" and the Company reserves the right to modify base salary (as well as any other discretionary payment or compensation program) at any time, including for reasons related to individual performance, Company or individual department/team performance, and market factors".

Nomura is an Equal Opportunity Employer