Quant jobs / Nomura

Vice President – Credit Risk Analytics (Counterparty Exposure Models)

A technical-lead role in the team that builds the methods for measuring counterparty credit exposure on OTC derivatives. You help implement models into the bank's exposure system and meet regulatory requirements.

What you’d work on

Our reading of the posting: what a new hire in this role would most likely spend their first months on.

Lead the local team on OTC derivative exposure model development
Prototype methodology, write requirements and test models before they go into the risk system
Handle back-testing, performance monitoring, calibration and stress testing
Work with global teams and the validation group to meet regulatory standards

What they ask for

Required

Derivatives pricing theory and stochastic calculus
Counterparty exposure concepts
Regulatory regimes
Python and Excel/VBA
Git and unit testing
Scientific writing
10+ years in front-office, risk methodology or validation

Education: Master's or PhD in a quantitative discipline
Experience: 10+ years in front-office, risk methodology or model validation, preferably as a model developer
Languages and tools: Python
VBA
Excel
Git
Markets: multi-asset

How to prepare

Build a Monte Carlo exposure simulation for swaps and compute EE, PFE and CVA
Study regulatory exposure approaches such as SA-CCR and internal model methods
Write unit tests and version-controlled documentation for a model prototype
Practise back-testing exposure models against realised paths

What to study

The Risk Quant roadmap sets out the stages for this kind of role, with free resources for each.

Open the roadmap

Apply

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View the posting on Nomura’s site ↗

SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Nomura and doesn’t handle applications.