Company overview
Nomura is a global financial services group with an integrated network spanning approximately 30 countries and regions. By connecting markets East & West, Nomura services the needs of individuals, institutions, corporates and governments through its three business divisions: Wealth Management, Investment Management, and Wholesale (Global Markets and Investment Banking). Founded in 1925, the firm is built on a tradition of disciplined entrepreneurship, serving clients with creative solutions and considered thought leadership. For further information about Nomura, visit www.nomura.com
Department Overview
Nomura's Audit department provides independent and objective assurance to the senior leadership team and the Board of Directors on the effectiveness of the company's risk management, control, and governance processes. The team collaborates with senior leadership, business units, and stakeholders to assess internal controls and provide recommendations for improvement, providing guidance on risk management, control, and governance processes to align operations with business objectives. Nomura's Audit team specializes in risk assessment, internal control testing, and audit reporting, known for providing exceptional service to clients. With a strong track record and commitment to innovation and global reach, Nomura's Audit department is well-positioned to continue driving growth and success in the financial industry.
Role Description:
The Vice President, Model Risk Quantitative Specialist Audit position is a specialist Model risk audit role within Nomura Internal Audit. It is a global role and reports primarily to the Global Head of Model Risk Audit who is also the Regional Risk Management Audit Head. This is a key role in assessing firm’s model risks and the individual will lead or participate in Model Risk Management and other Business line audits, as well as supporting other Internal Audit activities including risk assessment, issue remediation validation and continuous monitoring and auditing. The Model Risk Management audits are global and regional covering pricing models, risk management models and capital models and also involves assessing compliance with local and global regulatory requirements.
The role involves ongoing coordination with members of other regional and cross functional Internal Audit teams covering Technology, Operations, Global Markets and Investment Banking, Legal and Compliance, and Finance across New York, London, Singapore, Hong Kong, Powai and Tokyo.
Key Responsibilities:
- Performing assessments of the firm model development processes against industry and regulatory standards
- Assessing the ongoing monitoring of model performance and appropriateness of model usage during Business line audits
- Assessing the robustness of model validation processes performed by the second line of defence Model Validation Group
- Assessing the firm’s model risk management practices against regulatory standards such as SR 11-7, JFSA, UKPRA, BAFIN and ECB requirements
- Assist in annual risk assessments of Model risk related auditable entities
- Effectively collaborate with other Global and Regional audit teams and deliver assistance where needed either in audits or other advisory matters.
- Perform continuous monitoring of the firm’s Model risk
- Support in developing and implementing data analytics and automated testing where necessary
- Identifying and formulating solutions to issues around Model Risk management.
- Tracking implementation of recommended processes and procedures designed to strengthen internal controls
Skills, experience, qualifications and knowledge required:
- 8 years of experience with a Master’s or PhD in quantitative sciences, supported by work experience as model developer or model validator at a major Financial Institution, Consulting firm, or Big 4 firm.
- Significant experience in pricing or risk models design, development, calibration, stress testing and validation.
- Excellent understanding of quantitative finance and model development.
- Strong financial mathematics skills and fluency in stochastic calculus, statistics, and numerical methods.
- Subject matter expertise to support the global model risk audit manager in establishing and executing an effective audit approach around valuation and pricing models.
- Ability to read code, preferably Python
- Strong in Project Management, building relationships, staff development and communication in both oral and written forms
- Relevant market knowledge across asset classes and experience in risk managing derivative products (IR, FX, Credit, Equity, Inflation, etc.)
- Ability to challenge and be challenged while maintaining the highest level of professionalism and ethics
- Independent, reliable, and self-motivated
- Ability to clearly communicate with senior management and convey opinions stemming from complex situation and concepts
- Strong interpersonal skills to be able to communicate within Internal Audit and with internal stakeholders and various levels of seniority
- Audit experience a plus
Diversity Statement
Nomura is committed to an employment policy of equal opportunities, and is fundamentally opposed to any less favourable treatment accorded to existing or potential members of staff on the grounds of race, creed, colour, nationality, disability, marital status, pregnancy, gender or sexual orientation.
DISCLAIMER: This Job Description is for reference only, and whilst this is intended to be an accurate reflection of the current job, it is not necessarily an exhaustive list of all responsibilities, duties, skills, efforts, requirements or working conditions associated with the job. The management reserves the right to revise the job and may, at his or her discretion, assign or reassign duties and responsibilities to this job at any time.
Nomura is an Equal Opportunity Employer
SFID: 7539
