RC - Market risk - Senior Associate

Line of Service

Advisory

Industry/Sector

Not Applicable

Specialism

Risk Architecture

Management Level

Senior Associate

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.

Focused on relationships you are building meaningful client connections and learning how to manage and inspire others. Navigating increasingly complex situations you are growing your personal brand deepening technical expertise and awareness of your strengths. You are expected to anticipate the needs of your teams and clients and to deliver quality. Embracing increased ambiguity you are comfortable when the path forward isnt clear you ask questions and you use these moments as opportunities to grow.

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

• Respond effectively to the diverse perspectives needs and feelings of others.
• Use a broad range of tools methodologies and techniques to generate new ideas and solve problems.
• Use critical thinking to break down complex concepts.
• Understand the broader objectives of your project or role and how your work fits into the overall strategy.
• Develop a deeper understanding of the business context and how it is changing.
• Use reflection to develop self awareness enhance strengths and address development areas.
• Interpret data to inform insights and recommendations.
• 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 2-7 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 back-testing 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 (PFESA-CCR EPE etc o Leveraging experiential know-how 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 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

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 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 Data Pipeline 38 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