IN_Manager_ Market Risk with Liquidity/ALM_FST-CT,C&M_Advisory_Mumbai

Job Description & Summary:  

PwC India are seeking a skilled market risk quant with a strong understanding of the Market Risk, Derivative Pricing, VaR, ES, Treasury processes, Hedge Accounting, Funds Transfer Pricing regulations. The individual should have expertise in quantitative modelling and knowledge of financial products in Treasury (derivative & fixed-income). 

Responsibilities: 

• Master’s degree in finance, Economics, Mathematics, Statistics, Financial Engineering or a related quantitative field, ensuring a strong foundation in complex financial modeling 

• Understanding of market risk concepts and regulations, particularly Fair Valuation, VaR, ES, SACCR, Sensitivities, Collateral Risk Management, Hedge Effectiveness & Hedge Accounting 

• Understanding and interpreting the computation of risk measures (VaR, SACCR, ES, Back testing etc.), management of risk limits, risk reporting etc. 

• Experience in risk management within a financial institution, preferably in a market risk or quantitative analysis role 

• Knowledge of Treasury operations in Front-office, Mid-office and Back-office 

• Proficiency in programming languages such as Python, R, or MATLAB for data analysis and modeling 

• 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 

• Detail-oriented with strong organizational skills and ability to manage multiple priorities 

• 5+ years of experience in market risk model development/validation 

• FRM/CQF/CFA certification would be a plus 

• 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 

• Perform review of the risk models and methodologies in accordance with Basel requirements as a part of the third line of defense in the model risk management cycle. 

• Collaborate with internal audit and compliance teams to facilitate audits and regulatory inspections related to Basel market risk implementation and models 

• Conduct periodic interactions with the development and the validation teams to understand their assessment of the model 

• Ensure accuracy of the model design and risk analysis; Validate the accuracy of the testing and assessment carried out by model developers and validators. 

• Perform independent testing around the sensitivity analysis, model implementation and other components of the model to assess the accuracy 

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

• Raise audit observations and assess the severity of the same. Communicate these observations to the relevant stakeholders with appropriate reasoning and get approvals for the same. 

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

• Strong quantitative and analytical skills, including proficiency in statistical analysis and risk modeling 

• Possess knowledge of derivative products, valuation and pricing methodologies and sensitivity analysis 

Mandatory skill sets: 

Market Risk Model Development / Validation 

Preferred skill sets: 

Financial Product knowledge, Any Programming language experience 

Years of experience required: 

6 to 9 Years 

Education qualification: 

Qualified CAs or Postgraduate with - with minimum 6 years of experience in Banks, Rating Agencies, Consulting Firms, Analytical Software Companies