Quant methodology

  • Negotiable
  • London, England, United Kingdom
  • Permanent, Full time
  • Nomura
  • 23 Sep 16

Following the regulatory change in the financial industry, banks are investing massively in quant/analyst to compute/value/analyze the impact on capital.

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.

Risk Methodology team

Following the regulatory change in the financial industry, banks are investing massively in quant/analyst to compute/value/analyze the impact on capital. The Risk Methodology team is in charge of analyzing/modelling capital for FRTB, advising senior management/business head on system implementation.

Key objectives critical to success:

  • Define/Implement FRTB toy models
  • Work with IT on the implementation of FRTB production models
  • Simulate of RWA (IMA, SBA, CVA) impacts from future business plans / objectives
  • Development of tools for diversification analysis, efficient hedging strategies etc.
  • Optimisation of portfolio handling for (model driven) scarce financial resources
  • Assist in capital allocation and utilization projections, under different regulatory scenarios

Key interactions (FO / Risk / Finance)

  • FO trading / business heads globally
  • GM / FID COO Office
  • FID Risk Management Functions
  • Close co-operation with businesses in all regions
  • Regulatory reporting
  • Capital planning unit
  • Economic Risk Analytics
  • Credit Risk Analytics
  • Market Risk Analytics
  • Regulatory Liaison Analytics

Skills, experience, qualifications and knowledge required:

The candidate should have strong quantitative skills and programming skills (Python). The candidate should have couple of years of experience. He should have been as well exposed to quantitative/IT role in f/o, risk role. Important knowledge on two of the following topics is a requirement (market risk, counterparty risk and capital requirement).