IN-Senior Associate_ Market Risk with FRTB_Captive Financial Services_Advisory_Mumbai

Line of Service

Advisory

Industry/Sector

FS X-Sector

Specialism

Risk

Management Level

Senior Associate

Job Description & Summary

A career within Financial Risk and Regulatory services, will provide you with the opportunity to help business leaders embed a proactive and dynamic risk management capability and mind set into their corporate business practices. From strategy through to implementation, we help put in place people, processes and technology so they can leverage financial risk management to identify new opportunities and pursue success as smoothly, systematically and sustainably as possible in the face of changing markets, technologies and competition.

*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:

PwC India are seeking a skilled market risk quant with a strong understanding of the Fundamental Review of the Trading Book (FRTB) regulations. The individual should have expertise in market risk, Basel 2.5 norms, and FRTB requirements.

Requirements:

• Bachelor’s or master’s degree in finance, Economics, Mathematics, Statistics, or a related quantitative field.
• Solid understanding of market risk concepts and regulations, particularly FRTB.
• Experience in understanding and interpreting the computation of risk measures (VaR, IRC, ES 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.
• Proficiency in programming languages such as Python, R, or MATLAB for data analysis and modeling.
• Excellent communication skills with the ability to explain complex concepts to non-technical stakeholders.
• Detail-oriented with strong organizational skills and ability to manage multiple priorities.

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 review of the risk models and methodologies in accordance with FRTB 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 FRTB 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.
• 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.
• Produce reports and presentations on FRTB-related market risk metrics for senior management and regulators. Stay abreast of regulatory developments and industry best practices related to FRTB and market risk.
• 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 with FRTB

Preferred skill sets:

Basel 2.5 norms

Years of experience required:

2 to 6 Years

Education qualification:

Post Graduation or CA

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

Degrees/Field of Study required: Chartered Accountant Diploma, Master Degree

Degrees/Field of Study preferred:

Certifications (if blank, certifications not specified)

Required Skills

Market Risk

Optional Skills

Desired Languages (If blank, desired languages not specified)

Travel Requirements

Not Specified

Available for Work Visa Sponsorship?

No

Government Clearance Required?

No

Job Posting End Date