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IN-Senior Associate_ Market Risk with FRTB_Captive Financial Services
2-9 years
₹ 5.05 - 37L/yr (AmbitionBox estimate)
This is an estimate of the average salary range for this
position. It has not been reviewed by the company, and
the actual salary may differ.
Mumbai
1 vacancy
IN-Senior Associate_ Market Risk with FRTB_Captive Financial Services
PwC
posted 1mon ago
Job Role Insights
Flexible timing
Key skills for the job
Job Description
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
Employment Type: Full Time, Permanent
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View answer (1) What people at PwC are saying
Rating based on 1.4k Senior Associate
reviews
Anonymous · IT Security
in Bengaluru
Likes
Salary benefits like Hike and Bonus components
Dislikes
During appraisal cycle there will lot questions on contributions to other initiatives in the company apart from Project. Sometimes to get good hike you have to work overtime on these initiatives
Read 1.4k reviewsSenior Associate salary at PwC
reported by
14.4k
employees
₹8
L/yr - ₹30
L/yr
91%
more
than the average Senior Associate Salary in India
View more details
What PwC employees are saying about work life
based on 8.5k employees
Flexible timing
Monday to Friday
No travel
Day Shift
PwC Benefits
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PwC Mumbai Office Locations
Mumbai Office
PricewaterhouseCoopers Pvt Ltd, PwC House, Plot No. 18 A, Guru Nanak Road, Station Road
Mumbai
Maharashtra 400050
Maharashtra 400050
Mumbai Office
252 Veer Savarkar Marg,,Next to Mayor's Bungalow,Shivaji Park, Dadar,Mumbai
Mumbai
400 028
400 028
IN-Senior Associate_ Market Risk with FRTB_Captive Financial Services
2-9 Yrs
Mumbai
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