Senior Associate - IRRBB

Job Description:

PwC India is seeking skilled resources with good understanding of different aspects of Modelling. The individual should have good knowledge around IRRBB and Model Development Area.

Location: Mumbai

Grade Senior Associate

Experience – 3-6 Years Experience

Role Summary

The role demands a good level of understanding IRRBB and Liquidity Risk along with strong hands-on experience in Model Development and Validation projects.

Responsibilities:

• Perform a development role for IRRBB modelling, coordinate and work with various stakeholders in understanding the requirements pertaining to Interest Rate Risk/Stress Testing modelling.
• Work with various stakeholders in understanding the regulatory requirements pertaining to IRRBB and Stress Testing.
• Develop the modelling requirements through softwares and coding languages such as Python, SQL, R etc.
• Work with development team to model the requirements, and propose, calibrate, and implement appropriate assumptions.
• Ability to independently review model documentations, assumptions, undertake appropriate qualitative & quantitative analysis and author high quality analytical documentation.
• Prepare and consolidate test cases across the IRRBB calculations, including any adjustments, reconciliation, exception management, reporting, etc.
• Engage in constant and continuous communication with all the stakeholders to ensure smooth completion of tasks and report any deviations from proposed timelines.
• Collaborate seamlessly across various business units, integrating change management principles to ensure holistic alignment with organizational goals.
• Work with development team to model the requirements, and propose, calibrate, and implement appropriate assumptions.
• Collaborate seamlessly across various business units, integrating model development and validation principles to ensure holistic alignment with organizational goals.
• Prepare project reports and trackers highlighting risks, analyzing trends and recommendations /adjustments that address or capitalize on changes required.

Requirements:

• Should be well versed with model development process including developing efficient models on coding languages, model testing and documentation.
• Have working knowledge of Liquidity metrics such as LCR & NSFR, NII, EVE and MCO.
• Knowledge on how different product types affect IRRBB.