Job Description:
PwC India is seeking highly skilled Market Risk Quant Professional to join our team.
Location : Mumbai
Grade Associate/Senior Associate/ Manager
Responsibilities:
- Market Risk Model Development or Validation experience covering Value at Risk (VaR), IRC, RNiV, VaR backtesting, Market risk Stress testing Loss estimation etc
- Deep understanding of Fundamental Review of the Trading Book (FRTB) - Internal Models Approach (IMA) and the Standardized Approach (SA).
- Demonstrated experience in development/validation of quantitative models within the banking sector, aligning with FRTB standards, particularly in market risk modeling.
- Familiarity with Greeks and Risk Factors, risk factor modellability concepts, adeptness in calculating capital requirements under FRTB guidelines.
- Perform the back test of the distribution of simulated risk factors
- Conduct quantitative analysis of market data, including historical market data and current market trends, to identify potential risks and recommend appropriate risk mitigation strategies
- Stay up to date with industry trends, regulations, and best practices related to market risk management
Requirements:
- Must hold a master’s or Ph.D. degree in Mathematics, Statistics, Financial Engineering, or a related quantitative field, ensuring a strong foundation in complex financial modeling.
- 2+ years of experience in market risk model development/validation
- Proficiency in programming languages such as Python, R and strong analytical skills for effective data interpretation and model analysis.
- 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.
- Candidates with exposure to FRTB- Standardized Approach implementation or FRTB IMA - Model development experience will be preferred
- FRM/CQF/CFA certification would be a plus
Employment Type: Full Time, Permanent
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