Model Risk - Securitized Products

Job Title: Model Risk – Securitized Products

Corporate Title: Vice President

Department: Risk Management

Location: New York

The pay range for this position at commencement of employment is expected to be between $160,000 and $185,000/ year *(see below footnote for additional compensation and benefits information).

Company overview

Nomura is a global financial services group with an integrated network spanning approximately 30 countries and regions. By connecting markets East & West, Nomura services the needs of individuals, institutions, corporates and governments through its three business divisions: Wealth Management, Investment 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.

Aon’s Benefit Index®, Nomura’s benefits rank #1 amongst our competitors

Division Overview:

Nomura's Risk department plays a crucial role in identifying, assessing, and mitigating risks across our business. We strive to protect the firm's assets, reputation, and financial stability by implementing robust risk management practices. Join our team and contribute to our proactive approach in managing risks, allowing us to make informed decisions and thrive in an ever-changing market environment.

Role Description:

• A VP-level position in the Model Validation Group, responsible for validating models used across the Agency mortgage and securitized products businesses.

• 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.

Skills, experience, qualifications and knowledge required:

• 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.

Nomura Competencies

Explore Insights & Vision

• Identify the underlying causes of problems faced by you or your team and define a clear vision and direction for the future.

Making Strategic Decisions

• Evaluate all the options for resolving the problems and effectively prioritize actions or recommendations.

Inspire Entrepreneurship in People

• Inspire team members through effective communication of ideas and motivate them to actively enhance productivity.

Elevate Organizational Capability

• Engage proactively in professional development and enhance team productivity through the promotion of knowledge sharing.

Inclusion

• Foster a culture of inclusion and psychological safety in the workplace and cultivate a "Risk Culture" (Challenge, Escalate and Respect).

*base pay offered may vary depending on multiple individualized factors, including market location, corporate and functional title and duties, job-related knowledge and advanced degrees, skills, and experience. The total compensation package for this position may also include other elements, including a sign-on bonus, restricted stock units, discretionary awards and eligibility for commissions for applicable sales roles in addition to a full range of medical, financial, and/or other benefits (including 401(k) eligibility and various paid time off benefits, such as vacation, sick time, and parental leave), dependent on the position offered. Details of participation in these benefit plans will be provided if an employee receives an offer of employment.

If hired in the U.S., employee will be in an “at-will position” and the Company reserves the right to modify base salary (as well as any other discretionary payment or compensation program) at any time, including for reasons related to individual performance, Company or individual department/team performance, and market factors”.

Nomura is an Equal Opportunity Employer