Model Risk - Securitized Products

Job Title: Model Risk – Securitized Products

Corporate Title: Associate

Department: Risk Management

Location: New York

The pay range for this position at commencement of employment is expected to be between $115,000 and $135,000/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:

• An associate-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.
• Execute critical model risk management processes, including periodic model reviews, model performance monitoring and model risk control frameworks.

Skills, experience, qualifications and knowledge required:

• 1 to 3 years of experience from working in a model validation or a FO quantitative group at a major financial institution.
• Familiarity with the following models is strongly preferable (but not a requirement)
• MBS/ABS models (prepayment/mortgage credit modelling, OAS valuation)
• Interest rate modelling (short-rate models, HJM/BGM)
• Risk models (VaR, Counterparty Exposure, etc.)
• PhD/Postgraduate degree in Statistics, Mathematics, Physics, computing science or similar education.
• Strong programming skills in Python/R/SQL.
• A team player with strong verbal and written communication skills.

Nomura Competencies

• Explore Insights & Vision
• Making Strategic Decisions
• Inspire Entrepreneurship in People
• Elevate Organizational Capability
• Inclusion

*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.