2422 PwC Jobs

Job Description & Summary:

We are seeking a highly skilled Market Risk/Derivatives Pricing Quant to join our dynamic team. The ideal candidate will have extensive experience in model development/validation, a deep understanding of market risk/derivatives pricing, and proficiency in Python programming. Knowledge of leading financial regulations, such as the Fundamental Review of the Trading Book (FRTB), is essential.

1. Model Development/Validation:

• Develop/validate quantitative models for market risk/derivatives pricing.
• Conduct rigorous testing and performance assessments of models to ensure accuracy and robustness.
• Implement model improvements based on backtesting results and changing market conditions.
• Collaborate with other quants, risk managers, and traders to ensure models meet business needs and regulatory requirements.

2. Market Risk Management:

• Analyze and monitor market risk exposures across various asset classes.
• Develop risk metrics, such as Value at Risk (VaR), and conduct stress testing.
• Provide insights and recommendations to mitigate risk and optimize portfolio performance.
• Stay updated on market trends, economic indicators, and geopolitical events that could impact risk profiles.

3. Derivatives Pricing:

• Develop/validate pricing models for a wide range of derivatives, including options, futures, swaps, and exotic products.
• Ensure pricing models are aligned with industry standards and best practices.
• Conduct sensitivity analyses and scenario testing to assess the impact of market changes on derivative valuations.

4. Regulatory Compliance:

• Ensure compliance with relevant financial regulations, including FRTB.
• Prepare documentation and reports for regulatory submissions and audits.
• Monitor regulatory updates and assess their impact on existing models and processes.

5. Programming and Data Analysis:

• Utilize Python and other programming languages to develop, implement, and validate quantitative models.
• Perform data analysis and visualization to support model development and risk assessment.
• Automate processes to enhance efficiency and accuracy in model implementation.

Requirements:

• Advanced degree (Master's or PhD) in a quantitative discipline such as Mathematics, Physics, Engineering, Finance, or a related field.
• Proven experience in market risk and derivatives pricing model development/validation.
• Strong programming skills in Python; experience with other languages (e.g., R, C++, MATLAB) is a plus.
• In-depth knowledge of financial markets, instruments, and risk management techniques.
• Familiarity with leading financial regulations, including FRTB.
• Excellent analytical, problem-solving, and quantitative skills.
• Strong communication and interpersonal skills, with the ability to work effectively in a collaborative team environment.
• Attention to detail and a commitment to producing high-quality work