Job Title: RSK-Risk Methodology Group Country: IN City: Mumbai Skill Category: Risk Description:

Division Overview:

The Risk Management Division encompasses the firms comprehensive risk framework responsible for determining and managing the overall risk appetite for the firm. The division is responsible for effectively managing the firms risk-return profile which ensures the effective deployment of the firms capital. It is one of the firms core competencies and is independent of the trading areas and operational areas. The Risk Management Division in India comprises:
Market Risk Management
Credit Risk Management
Quantitative Risk Management
Operational Risk Management
Data Integrity Group

Business Unit Overview:

The Risk Methodologies Group (RMG) has the mandate to develop / enhance risk models in line with internal and regulatory requirements, perform ongoing model performance and conduct SIMM/VaR back-testing. The methodologies side of the group has the critical task of owning all the risk models that are used for computing capital adequacy for the whole firm, used for internal regulatory reporting and thus ensuring they meet business and regulatory standards. RMG team comprises of five functions working on models covering Market Risk, Economic capital,



Market and counterparty Stress Testing, FRTB and Model Performance Monitoring under one umbrella.

Role Responsibilities:
Periodic backtesting/ performance monitoring of the following models:
Firm s internal VaR model
SIMM (Standardized Initial Margin Model) model
FRTB internal models (via backtesting and PL attribution test (PLA))
Other risk models
Daily Backtesting of firm s internal VaR model including FRTB models and related analysis at entity as well as desk level. It also involves detailed analysis across product classes and risk factors.
SIMM (Standardized Initial Margin Model) model monitoring and reporting, which involves development and ownership of the backtesting/benchmarking methodology, identifying risk not in SIMM and in depth analysis on exception drivers by working across product classes.
Analyse and review the backtesting exceptions with Risk managers and Product control and highlight deficiencies (if any) in the model.

Disclaimer : This job posting has been aggregated from external source. Role detailscontentand availability are subject to change. Applicants are advised to confirm the latest information directly on the company website before applying.

📌 Rsk Risk Methodology Group Professional Mumbai
🏢 Nomura
📍 Mumbai