Credit Risk BA – Perm recruitment
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.
Credit Risk Analytics
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 London office; the principal requirements and responsibilities of the role are set out below.
Role / Principal Accountabilities:
Ø Business analysis for the counterparty risk modelling of new products and business segments
Ø Development of business requirements documents for new exposure models and tracking/ project management of analytics delivery
Ø Support the global rollout of the exposure models and compliance with the relevant Basel IMM standards
Ø Act as a liaison between the Credit Risk Analytics group and the Risk, Finance, Middle Office and Front Office groups across Nomura.
Ø Support for the global exposure stress testing including co-ordination with Global Stress Testing group and the Credit Department.
Ø Conduct Basel regulatory capital analysis in partnership with the Finance division.
Ø Assessment and prioritisation of New Products requirements in the context of the Firms counterparty risk models.
Qualifications Required
Masters in finance or a quantitative discipline.
Skills Experience Required:
Ø Knowledge of the financial markets and derivatives products
Ø Strong analytical, business analysis and problem solving skills.
Ø Proactive team oriented.
Desirable
Ø Experience in credit exposure modelling techniques their application to risk manage the business.
Ø Knowledge of securities financing and/or OTC derivatives products and risk management practices
Ø Knowledge of Basel IMM regulatory requirements and CVA modelling techniques.
Ø Project management experience
Ø VBA and Excel skills
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