Model Risk - Securitized Products

Nomura Holdings, inc.•New York, NY

4d•$160,000 - $185,000•Onsite

About The Position

A VP-level position in the Model Validation Group, responsible for validating models used across the Agency mortgage and securitized products businesses. This role involves evaluating model conceptual soundness, ongoing monitoring frameworks, and model outcomes to assess appropriateness for intended use. The position requires identifying, analyzing, and quantifying potential model risk, including sensitivity to assumptions, calibration accuracy, performance stability, and robustness of model outputs. The successful candidate will produce comprehensive model validation documentation, including validation findings and risk-based assessments of model limitations and assumptions. Additionally, they will present validation results and risk assessments to senior management, model risk governance committees, and business stakeholders, while building collaborative partnerships with stakeholders and maintaining independent and principled challenge.

Requirements

Ph.D. in a quantitative discipline (Statistics, Mathematics, Economics, or a related field) strongly preferred. A Master's degree with exceptional relevant experience will be considered.
3–5 years of experience in model validation or a front-office quantitative group at a major financial institution.
Hands-on experience working with mortgage pool- and loan-level performance data to identify behavioral drivers of prepayment and default.
Proven ability to build and/or validate Agency MBS prepayment models and mortgage credit models.
Strong knowledge of the U.S. mortgage market, statistical modeling, survival analysis, time-series forecasting, and/or machine learning techniques.
Advanced proficiency in Python, R, and SQL for quantitative modeling and data analysis.
A team player with strong verbal and written communication skills.

Responsibilities

Evaluate model conceptual soundness, ongoing monitoring frameworks, and model outcomes to assess appropriateness for intended use.
Identify, analyze, and quantify potential model risk, including sensitivity to assumptions, calibration accuracy, performance stability, and robustness of model outputs.
Produce comprehensive model validation documentation, including validation findings and risk-based assessments of model limitations and assumptions.
Present validation results and risk assessments to senior management, model risk governance committees, and business stakeholders.
Build collaborative partnerships with stakeholders while maintaining independent and principled challenge.