Market Risk Stress Testing Analyst (Rates & FX) – perm recruitment
Market Risk Stress Testing Analyst (Rates FX) - perm
Nomura
Nomura is a leading financial services group and the pre-eminent independent investment bank with worldwide reach. Backed by a strong balance sheet, we offer unrivalled asset raising abilities and have a proven record of delivering value for our clients.
We offer a broad range of innovative services tailored to the specific requirements of individual, institutional, corporate and government clients. In many cases our pioneering spirit creates new and differentiated solutions, but always with the reassurance that this is underpinned by a global intelligence network, knowledge and depth of experience in the financial markets.
Based in Tokyo and with regional headquarters in London, Hong Kong and New York, we have offices in over 30 countries and employ more than 25,000 people worldwide. In October 2008 we acquired the Lehman Brothers franchise in Asia as well as its equities and investment banking businesses in Europe and the Middle East. Our combined businesses make us a leader in global investment banking.
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. Market Risk Management consist of four teams with each area head reporting to the Global Head of Market Risk - Model Validation; Risk Methodology; Market Risk and Market Risk Strategy.
Stress Testing globally and regionally was developed following the rapid business expansion as a result of the Lehman Brothers acquisition and also the increase in regulatory requirements. Previously stress testing was performed within market risk or credit exposure but not across all risk classes simultaneously or on a firm wide basis. Consequently, a new team was created in EMEA in order to facilitate the firms overall stress testing objectives which are summarised as follows;
- Perform stress testing at the firm-wide level across all risk classes (market, credit, operational, liquidity risks) as well as within risk class and trading book levels;
- Feed stress testing results into other business processes such as stressed revenues, capital planning, decision making and regulatory capital;
- Satisfy the FSA’s scenario requests and other infrastructure and control requirements.
Key responsibilities
The stress testing analyst is responsible for the following functions either directly or through the stress testing team or Risk IT:
Summary Role
Detailed functions
Scenario Analyst (Rates)
• Analysis and review of scenario results, focusing on understanding behaviour of derivative products under scenario conditions
• Liaison with Risk Managers to confirm and corroborate scenario and stress testing results
• Production of stress testing reporting information for distribution to senior management and regulators
• Continuous review of existing control environment and processes in order to improve controls and efficiency of process
• Implementing improvements to stress testing reporting information and developing new stress tests in order to provide effective key risk management information to senior management
• Working with front office and other risk managers to review current portfolio risks and trading strategies in order to develop new scenarios / improve current scenarios to fully address market risks
• Overall consolidation Reporting: monthly / quarterly to senior management and regulators;
• Contribute in the design and specification of functional improvements to strategic and tactical IT applications used for stress testing.
• Involvement in ad-hoc project in order to improve overall stress testing framework.
Skills:
• An in-depth understanding of financial markets and products (Rates FX)
• Excellent computational skills (VBA)
• Active interest in the financial markets and their behaviour under varying economic conditions.
Right to Work
The UK Government have taken steps to reduce net migration to the UK by limiting the number of overseas workers from outside the EEA coming to the UK for employment. Please note that whilst we are able to consider applications from overseas workers from outside the EEA ( who require a Tier 2 (General) visa) we can only employ them if we can provide evidence that there are no other suitable candidates for this vacancy from inside the EEA.