Model Risk - Securitized Products
Nomura Holdings, inc.•New York, NY
•$115,000 - $135,000•Onsite
About The Position
An associate-level position in the Model Validation Group, responsible for validating models used across the Agency mortgage and securitized products businesses.
Requirements
- 1 to 3 years of experience from working in a model validation or a FO quantitative group at a major financial institution.
- PhD/Postgraduate degree in Statistics, Mathematics, Physics, computing science or similar education.
- Strong programming skills in Python/R/SQL.
- A team player with strong verbal and written communication skills.
Nice To Haves
- Familiarity with MBS/ABS models (prepayment/mortgage credit modelling, OAS valuation)
- Familiarity with Interest rate modelling (short-rate models, HJM/BGM)
- Familiarity with Risk models (VaR, Counterparty Exposure, etc.)
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.
- Execute critical model risk management processes, including periodic model reviews, model performance monitoring and model risk control frameworks.
Benefits
- sign-on bonus
- restricted stock units
- discretionary awards
- eligibility for commissions for applicable sales roles
- full range of medical, financial, and/or other benefits
- 401(k) eligibility
- various paid time off benefits, such as vacation, sick time, and parental leave
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What This Job Offers
Job Type
Full-time
Career Level
Entry Level
Education Level
Ph.D. or professional degree
