Algorithmic Trading Model Risk Analyst

Company/ Firm Name

Nomura

Location

London, UK

Published Date

16 February 2022

About the job:

Overview:



Model Risk Management is a group within Risk Management headed by the Global Head of Model Risk responsible for:



(1) Executing and maintaining an effective Model Risk management framework.

(2) Producing a consolidated view of Model Risk for comparison with the Model Risk Appetite.

(3) Independently validating the integrity and comprehensiveness of the Models in the Firm.




Responsibilities:



Due to the extension of the scope of the Model Risk Management process, the Firm is seeking to recruit a member of the newly established Algorithmic Trading Model Validation Group. The successful candidate will have a strong quantitative background and will be responsible for the independent validation of Nomura’s Algorithmic Trading Models across a wide variety of asset classes / business lines. 


The team is responsible for:



  • Independent Validation of Algorithmic Trading Models, including

  • Assessment of conceptual soundness of Algorithmic Trading Models, including the integrity and suitability of Model parameters

  • Implementation testing

  • Model Risk Analysis – to identify, analyse and quantify Model Risk

  • Development and Execution of Model Performance Monitoring to ensure that Algorithmic Trading Models are performing as intended

  • Design and implementation of Model Risk Control processes for Algorithmic Trading Models




Required:


  • A working experience in a quantitative environment

  • A PhD/postgraduate degree in a quantitative discipline

  • Established experience in quantitative financial models as a Model Developer or Model Validator

  • Practical knowledge of optimization, statistics and machine learning

  • Excellent verbal and written communication skills in English

  • Self-motivated work attitude



Only successful candidates will be contacted