RC - Market risk - Manager

Line of Service

Advisory

Industry/Sector

Not Applicable

Specialism

Risk Architecture

Management Level

Manager

Job Description & Summary

At PwC our people in data and analytics focus on leveraging data to drive insights and make informed business decisions. They utilise advanced analytics techniques to help clients optimise their operations and achieve their strategic goals.

In data analysis at PwC you will focus on utilising advanced analytical techniques to extract insights from large datasets and drive data-driven decision-making. You will leverage skills in data manipulation visualisation and statistical modelling to support clients in solving complex business problems.

Enhancing your leadership style you motivate develop and inspire others to deliver quality. You are responsible for coaching leveraging team members unique strengths and managing performance to deliver on client expectations. With your growing knowledge of how business works you play an important role in identifying opportunities that contribute to the success of our Firm. You are expected to lead with integrity and authenticity articulating our purpose and values in a meaningful way. You embrace technology and innovation to enhance your delivery and encourage others to do the same.

Examples of the skills knowledge and experiences you need to lead and deliver value at this level include but are not limited to:

• Analyse and identify the linkages and interactions between the component parts of an entire system.
• Take ownership of projects ensuring their successful planning budgeting execution and completion.
• Partner with team leadership to ensure collective ownership of quality timelines and deliverables.
• Develop skills outside your comfort zone and encourage others to do the same.
• Effectively mentor others.
• Use the review of work as an opportunity to deepen the expertise of team members.
• Address conflicts or issues engaging in difficult conversations with clients team members and other stakeholders escalating where appropriate.
• Uphold and reinforce professional and technical standards (e.g. refer to specific PwC tax and audit guidance) the Firms code of conduct and independence requirements.

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.

Experience level 6-10 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)

• Counterparty Credit Risk (PFE CVA XVA)
• Pricing and valuation - Derivatives (across one or more asset classes)
• Modeling of Risk Metrics (e.g EPE PFE RWA Greeks)
• Market Risk Scenarios and Stress Testing
• Development prototyping and back-testing of Monte Carlo Credit Exposure Models
• Incremental default risk specific risk charge and stressed VaR
• 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)

• 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 calculation
• Knowledge and experience with counterparty risk concepts (PFESA-CCR EPE etc
• Leveraging experiential know-how of a wide range of financial products like Equity Derivative Swaps IR Credit derivatives OTC products Swaps Securitization CDOs etc.
• Knowledge of one or more of global regulatory Topics BASEL II/III IFRS 9 CCAR/DFAST CECL FRTB SR-11/7 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

Non-functional 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 problem-solving 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

Accepting Feedback Accepting Feedback Active Listening Algorithm Development Alteryx (Automation Platform) Analytical Thinking Analytic Research Big Data Business Data Analytics Coaching and Feedback Communication Complex Data Analysis Conducting Research Creativity Customer Analysis Customer Needs Analysis Dashboard Creation Data Analysis Data Analysis Software Data Collection Data-Driven Insights Data Integration Data Integrity Data Mining Data Modeling 43 more

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