RC - Market risk - Senior Manager

Line of Service

Advisory

Industry/Sector

Not Applicable

Specialism

Risk Architecture

Management Level

Senior Manager

Job Description & Summary

A career in our Model Risk and Validation practice within Risk Data and Analytics services will provide you with the opportunity to help our clients develop a strategic and sustainable approach to harness the value of their data and drive business results. We work with organisations across industries to develop customised cost effective technology solutions that focus on delivering the relevant actionable intelligence that executives need to understand operations and manage critical risks.

As part of the team youll help organisations manage the deployment and maintenance of complex models used for risk management and valuation.

To really stand out and make us fit for the future in a constantly changing world each and every one of us at PwC needs to be a purposeled and valuesdriven leader at every level. To help us achieve this we have the PwC Professional; our global leadership development framework. It gives us a single set of expectations across our lines geographies and career paths and provides transparency on the skills we need as individuals to be successful and progress in our careers now and in the future.

As a Senior Manager youll work as part of a team of problem solvers helping to solve complex business issues from strategy to . PwC Professional skills and responsibilities for this management level include but are not limited to:

Market and Counterparty Risk Analytics Professional Job Specification: Candidate would be responsible for developing validating auditing market risk valuations/models and counterpart credit risk models for trading investment and corporate portfolios of global financial institutions. Candidates would be expected to support financial institutions on meeting jurisdictional regulatory requirements and their broader risk management initiatives.
Multiple positions required;
Experience level 212 years of experience;
Location: Bangalore
Core Skill Requirements Candidate must have relevant experience in in statistical / mathematical modeling quantitative research counterparty and market risk management or related field at a reputed bank investment or broker services asset management firm or a consulting firm. Wider skill requirements include:
Independently built and managed quantitative market and counterparty risk analytical models
Strong experience/knowledge in at least some of the following areas (in quant space)
o Counterparty Credit Risk (PFE CVA XVA)
o Pricing and valuation Derivatives (across one or more asset classes)
o Modeling of Risk Metrics (e.g EPE PFE RWA Greeks)
o Market Risk Scenarios and Stress Testing
o Development prototyping and backtesting of Monte Carlo Credit Exposure Models o Incremental default risk specific risk charge and stressed VaR o Worked on multiple Market Risk Models like to develop/review calculation of VaR(Historical Parametric and Monte Carlo) RNiV CCAR IRC Model Validation/ development and present value for various type of instruments using any statistical tool
Strong experience/knowledge in at least some of the following areas (business knowledge) o Good knowledge of market risk concepts: Risk Factor VAR Earning at Risk cash flow at risk ETL PV01 Independent Validation Exotic derivatives FX Interest rate derivatives volatility commodities credit derivatives Fixed income Hull & White Monte Carlo simulation Capital calculations
o Knowledge and experience with counterparty risk concepts (PFESACCR EPE etc o Leveraging experiential knowhow of a wide range of financial products like Equity Derivative Swaps IR Credit derivatives OTC products Swaps Securitization CDOs etc.
o Knowledge of one or more of global regulatory Topics BASEL II/III IFRS 9 CCAR/DFAST CECL FRTB SR11/7 around data sufficiency modeling methods industry standards etc. Assisted clients to design and implement strategic and functional changes across risk management treasury front office middle office and back office activities with a focus on risk and valuation processes regulatory compliance analytics strategy and organizational structure.
Programming and Algorithms: R Python SAS Matlab Scala VBA etc.
Experience with with Murex QRM Reuters FINCAD Bloomberg and Algo is a plus
Nonfunctional skill requirements: In order to succeed in PwC Risk CoE it is desirable for candidates to possess:
Understanding of market trends and demands in the financial services sector and issues faced by clients by staying abreast of current business and industry trends relevant to the clients business
Excellent oral and written communication skills
Solid analytical and problemsolving skills; ability to isolate and solve issues using large amounts of data
Process orientation with strong technical skills and attention to detail
Deep technical capabilities and industry knowledge of financial products
Willingness to travel to meet client needs as needed

Educational Background:

Desired candidate must have a masters degree or higher in a quantitative discipline such as Economics Statistics Mathematics Operation Research Econometrics Data Science Finance Engineering MBA; advanced degree is a plus; Industry relevant certifications in CQF FRM CFA CPA certification is a plus

Additional Requirement for Senior Positions:

Candidates aspirant of senior positions at PwC Risk CoE are expected to possess:

• Proven consulting skills to structure vague problems at hand and conceptualizing solutions
• Credentials in leading and driving large and or complex risk analytics engagements and initiatives independently
• Experience in supporting sales pursuits for risk analytics offerings and solutions Ability to manage multiple engagements simultaneously along with leading people and initiatives
• Strong conceptual understanding of various functional/technical skills
• Ability to drive innovation and thought leadership in the risk management domain
• Intellectual property patents and exclusive rights on any innovative solution is a plus

Education (if blank degree and/or field of study not specified)

Degrees/Field of Study required:

Degrees/Field of Study preferred:

Certifications (if blank certifications not specified)

Required Skills

Optional Skills

Desired Languages (If blank desired languages not specified)

Travel Requirements

Not Specified

Available for Work Visa Sponsorship

No

Government Clearance Required

No

Job Posting End Date