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1204058 - Quantitative Analyst -Highly Collateralized Exposures

Closing date
18 Jan 2022

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Contract Type
Full Time
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Job Title:Quantitative Analyst -Highly Collateralized Exposures Job Code:1204058
Skill Category:Risk
Location:Americas Client Job Ref: Job Type:Permanent
Post Start Date:14 Sep 2021
Post End Date: Job Summary:
Company Overview

Nomura is a leading financial services group and the pre-eminent Asian-based investment bank with worldwide reach. Nomura provides a broad range of innovative solutions tailored to the specific requirements of individual, institutional, corporate and government clients through an international network in over 30 countries. Based in Tokyo and with regional headquarters in Hong Kong, London, and New York, Nomura employs over 27,000 staff worldwide. Nomura's unique understanding of Asia enables the company to make a difference for clients through three business divisions: retail, asset management, and wholesale (global markets and investment banking).

Risk Management

The Risk Department at Nomura is broadly organised according to the main risk classes; Risk Management (Market risk and credit exposure measurement), Investment Evaluation and Credit (Credit), and Operational Risk. The Risk Department provides senior management with an independent view of the principal risks taken by individual business units. The risk profile of Nomura arises from trading in Equities, FX, Credit, Rates and Commodities and from cash as well as vanilla and structured derivatives.

Role description:

The Credit Risk Analytics group is part of the Risk Methodology function within Risk Management. Credit Risk Analytics is responsible for the research and development of the Firm's credit exposure models. These models are used to measure and manage counterparty credit risk on a portfolio basis, to estimate regulatory/economic capital and CVA charges and to support the risk assessment of new trades. The group has a vacancy for a Quantitative Analyst in the New York office.

The key objectives and responsibilities of the role are set out below:
  • Research and development of new methodological framework for risk measurement of tail risk and highly collateralised exposures.
  • Enhancement of counterparty exposure analytics for Securities Financing and OTC Derivatives.
  • Business analysis and development of new methodologies, including prototypes where relevant.
  • Support for the validation and testing of the new models.
  • Presentation of new models to governance committees and internal clients.
  • Model documentation and maintenance.
  • Provision of quantitative support for the counterparty credit risk models, including pre-deal analysis.

Skills, experience, qualifications and knowledge required

  • Experience of 3-5 years or more in similar role.
  • Strong analytical, computing and problem solving skills.
  • Master's or PhD degree in a quantitative field.
  • Good knowledge of financial markets, including portfolio risk models and securities financing businesses.
  • Strong communication and teamwork skills.

  • Experience in modelling counterparty exposure for Securitised Products.
  • Experience in modelling portfolio event and default risk.
  • Experience in model prototyping in Python, C++, Java, VBA or similar.
    • Nomura is an Equal Opportunity Employer
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