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IN_Senior Associate_ Market Risk Quant_ Financial Services Risk_Advisory_Mumbai

IN_Senior Associate_ Market Risk Quant_ Financial Services Risk_Advisory_Mumbai

ConfidentialMumbai, India
7 days ago
Job description

Line of Service

Advisory

Industry / Sector

FS X-Sector

Specialism

Risk

Management Level

Senior Associate

Job Description & Summary

At PwC, our people in risk and compliance focus on maintaining regulatory compliance and managing risks for clients, providing advice, and solutions. They help organisations navigate complex regulatory landscapes and enhance their internal controls to mitigate risks effectively.

In regulatory risk compliance at PwC, you will focus on confirming adherence to regulatory requirements and mitigating risks for clients. You will provide guidance on compliance strategies and help clients navigate complex regulatory landscapes.

Why PWC At PwC, you will be part of a vibrant community of solvers that leads with trust and creates distinctive outcomes for our clients and communities. This purpose-led and values-driven work, powered by technology in an environment that drives innovation, will enable you to make a tangible impact in the real world. We reward your contributions, support your wellbeing, and offer inclusive benefits, flexibility programmes and mentorship that will help you thrive in work and life. Together, we grow, learn, care, collaborate, and create a future of infinite experiences for each other. Learn more about us.

At PwC, we believe in providing equal employment opportunities, without any discrimination on the grounds of gender, ethnic background, age, disability, marital status, sexual orientation, pregnancy, gender identity or expression, religion or other beliefs, perceived differences and status protected by law. We strive to create an environment where each one of our people can bring their true selves and contribute to their personal growth and the firm's growth. To enable this, we have zero tolerance for any discrimination and harassment based on the above considerations.

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

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

    Degrees / Field of Study required : Master Degree, Doctor of Philosophy

    Degrees / Field of Study preferred :

    Certifications (if blank, certifications not specified)

    Required Skills

    Market Risk

    Optional Skills

    Model Development, Validation

    Desired Languages (If blank, desired languages not specified)

    Travel Requirements

    Available for Work Visa Sponsorship

    Government Clearance Required

    Job Posting End Date

    Show more

    Show less

    Skills Required

    Market Risk, Validation, model development , Python

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    Associate • Mumbai, India

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