JOB DESCRIPTION



Job title:
Algorithmic Trading Model Risk Analyst
Corporate Title: Associate
Department: Risk Management


Location:
London

Company overview

Nomura is an Asia-based financial services group with an integrated global network spanning over 30 countries. By connecting markets East & West, Nomura services the needs of individuals, institutions, corporates and governments through its three business divisions: Retail, Asset Management, and Wholesale (Global Markets and Investment Banking). Founded in 1925, the firm is built on a tradition of disciplined entrepreneurship, serving clients with creative solutions and considered thought leadership. For further information about Nomura, visit www.nomura.com

Business unit 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.

Key objectives critical to success:

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

Skills, experience, qualifications and knowledge required:

Essential

* A working experience in a quantitative environment
* A 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

Desirable

* Familiarity with Valuation Models
* PhD (or equivalent) in a quantitative discipline...