Analyst, Economic Risk Analytics (ICAAP)

Company/ Firm Name

Nomura

Location

London, UK

Published Date

16 February 2022

About the job:

Overview:



The Economic Risk Analytic is part of the Risk Methodologies Group (RMG); has the mandate to develop / enhance Economic models in line with internal requirements/guidelines. Economic models are key to the firm and management, in the definition of its risk appetite and internal risk management. They are in some cases used by the firm to limit risk appetite of various functions. The methodologies side of the group has the critical task of owning, developing and validating all the economic models that are used in reporting for the whole firm.




Responsibilities:


  • Work closely with the Risk Methodologies Group (RMG) and Market/Credit Risk Manager on the development and enhancement of economic, financing risk, concentration risk models.

  • Development and periodic update of proto-type models using python, R, matlab

  • Implementation of economic models into strategic risk system (this includes developing methodology, building prototype, writing technical business requirement document, performing model testing, ensure compliance with regulatory requirements and liaising with model validation group).

  • To act as  a  subject matter expert for economic capital models and providing  support to the model users (i.e. risk managers) and be a key point of contact with respect to such models.

  • Participate in periodic review of models and calibration of model parameters.

  • Provide necessary support to Model validation group/Audit team during validation of Economic models including any model change on an ongoing basis.




Required:


  • Masters in Quantitative discipline (B.E/B. Tech+, M. Tech, MSc (Maths/Stats), Econometrics)

  • 2-5 years of experience either in Market risk or Credit risk with good understanding of risk modelling.

  • Good understanding of mathematical concepts like probability, statistics, calculus, linear algebra.

  • Good knowledge of Python, SQL, Matlab, VBA.

  • Good understating of financial products (Bonds, Derivatives)



Only successful applicants will be contacted