Senior Associate- Market Risk

Job Description :

PwC India is seeking skilled resources with good understanding of different aspects of Business Analysis. The individual should have good knowledge around Market Risk / Basel 2.5 norms / FRTB.

Location : Mumbai

Role Summary

The role demands a good level of understanding of Market Risk / Basel 2.5 norms / FRTB along with strong hands-on experience in Change management and Business Analyst projects.

Responsibilities :

• Perform a BA role for Market risk projects in Change Management and work with various stakeholders in understanding the requirements pertaining to VaR calculations / Basel 2.5, Backtesting, Greeks, Sensitivity Analysis.
• Articulate the requirements into simpler, understandable statements through tools in the form of a Business Requirement Document (BRD), Functional Specification Document (FSD) etc.
• Work with development team to model the requirements, and propose, calibrate, and implement appropriate assumptions.
• Engage in constant and continuous communication with all the stakeholders to ensure smooth completion of tasks and report any deviations from proposed timelines.
• Prepare and consolidate test cases across the capital calculations, including any adjustments, reconciliation, exception management, reporting, etc.
• Review test cases ensuring completeness of UAT coverage & Change Management.
• Collaborate seamlessly across various business units, integrating change management principles to ensure holistic alignment with organizational goals.
• Prepare project reports and trackers highlighting risks, analyzing trends an recommendations / adjustments that address or capitalize on changes required.

Requirements :

Skills Required

Market Risk, sensitivity analysis, Change Management, Test Cases, greeks , User Stories, backtesting