Model Quantitative Specialist Auditor - Vice President

About the role

Nomura's Internal Audit Division is an independent function that provides risk-based assurance and advisory services, operating independently from business execution. The Vice President, Model Quantitative Specialist Auditor is a specialist model risk audit role within Internal Audit, reporting primarily to the Global Head of Model Risk Audit. It is a global role covering pricing, risk management and capital models, and involves assessing compliance with local and global regulatory requirements.

Key responsibilities

• Assess model risk management practices against regulatory standards such as SR 26-2, JFSA, UKPRA, BAFIN and ECB requirements.
• Assist in annual risk assessments of model risk-related auditable entities.
• Assess the effectiveness of model risk management controls across the model lifecycle, including development and independent validation.
• Perform continuous monitoring of model risk and support risk assessment, issue remediation validation and continuous monitoring.
• Collaborate with regional and cross-functional audit teams (Technology, Operations, Global Markets and Investment Banking, Legal and Compliance, Finance) across New York, London, Singapore, Mumbai and Tokyo.
• Contribute specialist coverage of counterparty credit risk (CCR) models, including CVA/PFE/IMM considerations.
• Identify and solve model risk issues, track implementation of recommended controls, and support data analytics, automated testing and AI/Agentic AI applications for model risk and audit.

Required profile

• Master's degree in quantitative sciences, supported by experience as a model developer or model validator at a major financial institution, consulting firm or Big 4 firm.
• 5+ years' experience in pricing or risk model design, development, calibration, stress testing and validation, including CCR modelling.
• Proven quantitative finance and model development experience, and subject matter expertise in valuation and pricing models.
• Experience with credit scoring / PD model development or validation, and audit experience, are a plus.

Required skills

• Financial mathematics, stochastic calculus, statistics and numerical methods.
• Coding, preferably Python; familiarity with data analytics tools.
• Knowledge of asset classes and risk management of derivatives (IR, FX, Credit, Equity, Inflation).
• Strong project management, communication and ethical judgement.