Senior Associate- Market Risk Quant

PwC IndiaMumbai, Maharashtra, India

8 days ago

Job description

Job Description & Summary :

Must hold a Master’s or Ph.D. degree in Mathematics, Statistics, Financial Engineering, or a related quantitative field, ensuring a strong foundation in complex financial modeling.
10+ years of experience in market risk model development / validation
Proficiency in programming languages such as Python, R and strong analytical skills for effective data interpretation and model analysis.
Excellent verbal and written communication skills for effective articulation of complex quantitative concepts, and a collaborative approach for working in team environments with other analysts, risk managers, and IT professionals.
Candidates with exposure to FRTB- Standardized Approach implementation or FRTB IMA - Model development experience will be preferred
FRM / CQF / CFA certification would be a plus

Responsibilities :

Market Risk Model Development or Validation experience covering Value at Risk (VaR), Stress VaR (historical full revaluation, Taylor var approximation (delta gamma method), Monte Carlo) for linear instruments and derivative products, VaR mapping, back-testing VaR, Expected Shortfall, Market risk Stress testing Loss estimation, RWA calculation, Sensitivity & Scenario analysis and other coherent risk measures, modeling dependence : correlations and copulas, term structure models of interest rates, and volatility modeling

Deep understanding of the Fundamental Review of the Trading Book (FRTB) regulations, specifically expertise in the Internal Models Approach (IMA) and the Standardized Approach (SA).

IMA & CVA Experience is preferred

Demonstrated experience in development / validation of quantitative models within the banking sector, aligning with FRTB standards, particularly in market risk modeling.

Familiarity with risk factor modellability concepts, and adeptness in calculating capital requirements under FRTB guidelines.

Perform the back test of the distribution of simulated risk factors

Conduct quantitative analysis of market data, including historical market data and current market trends, to identify potential risks and recommend appropriate risk mitigation strategies

Stay up to date with industry trends, regulations, and best practices related to market risk management

Mandatory skill sets : Market Risk Quant

Preferred skill sets : Model Development / Validation and FRTB

Years of experience required : 3+ Years

Education qualification : Master’s or Ph.D. degree

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Senior Associate • Mumbai, Maharashtra, India

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