Model Risk - Securitized Products

Finsight Group Inc; New York, Northern (NY, KY); Hybrid; USD 160,000 - 185,000; Full time

Job summary

Nomura is seeking a VP-level professional for Model Risk – Securitized Products in New York. The role validates models used in Agency mortgage and securitized products, focusing on soundness, monitoring, and risk assessment. A Ph.D.

in a quantitative field with 3–5 years of relevant experience is required. The position involves producing comprehensive validation documentation, presenting findings to senior stakeholders, and collaborating across teams to challenge assumptions while upholding risk

Qualifications

• Ph.D. in a quantitative discipline strongly preferred; Master's with exceptional experience considered.
• 3–5 years in model validation or front-office quantitative group at a major financial institution.
• Hands-on experience with mortgage pool- and loan-level data to identify drivers of prepayment and default.
• Proven ability to build/validate Agency MBS prepayment and mortgage credit models.
• Strong knowledge of U.S. mortgage market, survival analysis, time-series forecasting, and ML techniques.
• Advanced proficiency in Python, R, and SQL for modeling and data analysis.

Responsibilities

• Validate models used across Agency mortgage and securitized products businesses.
• Evaluate model conceptual soundness, monitoring frameworks, and outcomes for intended use.
• Identify, analyze, and quantify potential model risk including calibration and robustness.
• Produce validation documentation with findings and risk-based assessments.
• Present validation results to senior management and governance committees.
• Build collaborative partnerships while maintaining independent challenge.

Skills

Python

R

SQL

Statistical modeling

Time-series forecasting

Machine learning

Mortgage modeling

MBS prepayment models

Model risk assessment

Education

Ph.D. in quantitative field

Master's degree relevant field

Tools

Python

R

SQL

Job description

The Model Risk - Securitized Products role at Nomura entails validating models used in Agency mortgage and securitized products businesses to ensure their correctness and appropriateness for use. A Ph.D. in a quantitative field and 3-5 years of relevant experience are top requirements for this VP-level position.

Corporate Title: Vice President

Location: New York

The pay range for this position at commencement of employment is expected to be between $160,000 and $185,000/ year *(see below footnote for additional compensation and benefits information).

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:

• A VP-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.
• Present validation results and risk assessments to senior management, model risk governance committees, and business stakeholders.
• Build collaborative partnerships with stakeholders while maintaining independent and principled challenge.

Skills, experience, qualifications and knowledge required:

• Ph.D. in a quantitative discipline (Statistics, Mathematics, Economics, or a related field) strongly preferred. A Master's degree with exceptional relevant experience will be considered.
• 3–5 years of experience in model validation or a front-office quantitative group at a major financial institution.
• Hands-on experience working with mortgage pool- and loan-level performance data to identify behavioral drivers of prepayment and default.
• Proven ability to build and/or validate Agency MBS prepayment models and mortgage credit models.
• Strong knowledge of the U.S. mortgage market, statistical modeling, survival analysis, time-series forecasting, and/or machine learning techniques.
• Advanced proficiency in Python, R, and SQL for quantitative modeling and data analysis.
• A team player with strong verbal and written communication skills.
• 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.