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The Risk Department at Nomura is broadly organised according to the main risk classes; Risk Methodology, Market Risk Management, Credit Risk Management, and Operational Risk Management. 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.
Within Risk Management, the Risk Methodology group is responsible for the development of Risk Models and Methodologies globally, including Economic Capital, Value-at-Risk, Credit Exposure and Credit Ratings.
We are seeking a quantitative risk analyst to work within the Market Risk Analytics team of Market Risk Methodology on S/VaR model development. The role will involve taking ownership of the risk models and developing them further in collaboration with the market risk managers, market data team and internal model validation. A key focus of the team over the next few years will be FRTB, and team members will play key roles in the design and implementation of the required new infrastructure. Typical tasks will include:
Identify data or modelling issues, research and develop practical solutions to further enhance our market risk models (VaR, Stress VaR, RNIV);
Prototype new approaches in development environment;
Work with colleagues across the bank to implement model enhancements: prepare clear specifications for Technology; work with Market Risk Managers to test; and assist Model Validation to facilitate their independent review;
Produce model documentation and summaries for presentation to senior management and regulators;
Perform regular review of models and checks on model performance;
Provide ad hoc support to risk managers to help them better understand the behavior of the models when applied to their specific portfolios;
Involve in regulatory related analysis on market risk models.Key objectives critical to success:
Take the initiative to and drive development of practical solutions to the challenges faced in modelling financial risk;
Work closely and co-operatively with colleagues across the firm, including the front office, technology and finance;
Enthusiastically develop knowledge of the firm's business, systems and processes.Skills, experience, qualifications and knowledge required:
An excellent academic background, including an advanced degree in a quantitative discipline, such as economics, finance, statistics/mathematics, sciences or engineering;
Proactive with the ability to work as both part of a close-knit team and independently;
Strong communication skills for written, graphical and verbal presentations;
Ability to demonstrate good judgment of risks and an understanding of the risk areas covered, including models and products;
Ability to program in C++\Python\VBA\Matlab\R.
Up-to-date working knowledge of regulatory requirements and change, specifically those emanating from Basel and European regulatory authorities including PRA;
Demonstrable experience in delivering enhancements to risk models;
Good knowledge of financial products is essential, including an understanding of risk representations (including greeks) and a solid understanding of risk management concepts such as VaR and Stressed VaR;