PwC SDC - Market Risk Role (4-12 yrs)
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.
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 calculations
- Knowledge and experience with counterparty risk concepts (PFE,SA-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, CDO's 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