IN_Manager _ Market Risk_Advisory_Mumbai
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Description
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<p class="MsoNormal" style="margin-bottom:0in;"><b><span style="font-size:10pt;line-height:107%;font-family:Georgia, serif;color:#000000;background-size:initial;">Job Description & Summary: </span></b></p><p><b></b></p><b></b>
<p class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">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).</span></p><p></p>
<p class="MsoNormal" style="margin-bottom:0in;"><span style="font-size:10pt;line-height:107%;font-family:Georgia, serif;color:#000000;"> </span></p>
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<p class="MsoNormal" style="margin-bottom:0in;"><b><span style="font-size:10pt;line-height:107%;font-family:Georgia, serif;color:#000000;background-size:initial;">Job Position Title:</span></b></p><p></p>
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<p class="MsoNormal" style="margin-bottom:0in;"><span style="font-size:10pt;line-height:107%;font-family:Georgia, serif;color:#000000;background-size:initial;">IN_Manager
_ Market Risk_Advisory_Mumbai </span></p><p></p>
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<p class="MsoNormal" style="vertical-align:baseline;"><b><span style="font-size:10pt;line-height:107%;font-family:Georgia, serif;color:#000000;border:none 1pt;padding:0in;">Responsibilities:</span></b></p><p><b></b></p><b></b>
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<ul style="margin-top:0in;" type="disc">
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">Master’s
degree in finance, Economics, Mathematics, Statistics, Financial
Engineering or a related quantitative field, ensuring a strong
foundation in complex financial modeling</span><p></p></li>
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">Understanding
of market risk concepts and regulations, particularly Fair Valuation,
VaR, ES, SACCR, Sensitivities, Collateral Risk Management, Hedge
Effectiveness & Hedge Accounting</span><p></p></li>
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">Understanding
and interpreting the computation of risk measures (VaR, SACCR, ES, Back
testing etc.), management of risk limits, risk reporting etc.</span><p></p></li>
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">Experience
in risk management within a financial institution, preferably in a
market risk or quantitative analysis role</span><p></p></li>
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">Knowledge
of Treasury operations in Front-office, Mid-office and Back-office</span><p></p></li>
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">Proficiency
in programming languages such as Python, R, or MATLAB for data analysis
and modeling</span><p></p></li>
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">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</span><p></p></li>
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">Detail-oriented
with strong organizational skills and ability to manage multiple
priorities</span><p></p></li>
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">5+
years of experience in market risk model development/validation</span><p></p></li>
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">FRM/CQF/CFA
certification would be a plus</span><p></p></li>
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<p class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><b><span style="font-family:Georgia, serif;">Responsibilities:</span></b></p><p></p>
<ul style="margin-top:0in;" type="disc">
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">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</span><p></p></li>
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">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.</span><p></p></li>
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">Collaborate
with internal audit and compliance teams to facilitate audits and
regulatory inspections related to Basel market risk implementation and
models</span><p></p></li>
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">Conduct
periodic interactions with the development and the validation teams to
understand their assessment of the model</span><p></p></li>
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">Ensure
accuracy of the model design and risk analysis; Validate the accuracy of
the testing and assessment carried out by model developers and
validators.</span><p></p></li>
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">Perform
independent testing around the sensitivity analysis, model
implementation and other components of the model to assess the accuracy</span><p></p></li>
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">Conduct
quantitative analysis of market data, including historical market data
and current market trends, to identify potential risks and recommend
appropriate risk mitigation strategies</span><p></p></li>
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">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.</span><p></p></li>
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">Stay
up to date with industry trends, regulations, and best practices related
to market risk management</span><p></p></li>
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">Strong
quantitative and analytical skills, including proficiency in statistical
analysis and risk modeling</span><p></p></li>
<li class="MsoNormal" style="margin-bottom:0in;text-align:justify;"><span style="font-family:Georgia, serif;">Possess
knowledge of derivative products, valuation and pricing methodologies
and sensitivity analysis</span><p></p></li>
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<p class="MsoNormal" style="vertical-align:baseline;"><b><span style="font-size:10pt;line-height:107%;font-family:Georgia, serif;color:#000000;">Mandatory skill sets:</span></b></p><p><b></b></p><b></b>
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<p class="MsoNormal" style="margin-bottom:0in;"><span style="font-size:10pt;line-height:107%;font-family:Georgia, serif;">Market Risk Model Development /
Validation</span></p><p></p>
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<p class="MsoNormal" style="vertical-align:baseline;"><b><span style="font-size:10pt;line-height:107%;font-family:Georgia, serif;color:#000000;">Preferred skill sets:</span></b></p><p><b></b></p><b></b>
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<p class="MsoNormal" style="margin-bottom:0in;"><span style="font-size:10pt;line-height:107%;font-family:Georgia, serif;">Financial Product knowledge, Any
Programming language experience</span></p><p></p>
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<p class="MsoNormal" style="vertical-align:baseline;"><b><span style="font-size:10pt;line-height:107%;font-family:Georgia, serif;color:#000000;">Years of experience required:</span></b></p><p><b></b></p><b></b>
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<p class="MsoNormal" style="margin-bottom:0in;"><span style="font-size:10pt;line-height:107%;font-family:Georgia, serif;">6 to 19 Years</span></p><p></p>
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<p class="MsoNormal" style="vertical-align:baseline;"><b><span style="font-size:10pt;line-height:107%;font-family:Georgia, serif;color:#000000;">Education qualification:</span></b></p><p><b></b></p><b></b>
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<p class="MsoNormal" style="margin-bottom:0in;"><span style="font-size:10pt;line-height:107%;font-family:Georgia, serif;">Post Graduation/MBA/CA</span></p><p></p>
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