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Manager / Senior Manager - Market Risk quant

10-13 years

₹ 20 - 50L/yr (AmbitionBox estimate)

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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

Manager / Senior Manager - Market Risk quant

PwC

posted 7hr ago

Job Role Insights

Flexible timing

Job Description

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



Employment Type: Full Time, Permanent

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What people at PwC are saying

3.3
 Rating based on 82 Senior Manager reviews

Likes

Perfect work life balance, people centric, follows the Indian Holiday calendar, flexible to internal movements within the organisation

  • Salary - Excellent
  • +6 more
Dislikes

Do not have a work from home or hybrid mode yet

Read 82 Senior Manager reviews

Senior Manager salary at PwC

reported by 1.1k employees with 8-22 years exp.
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₹18 L/yr - ₹66.5 L/yr
101% more than the average Senior Manager Salary in India
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What PwC employees are saying about work life

based on 9.2k employees
75%
88%
57%
88%
Flexible timing
Monday to Friday
No travel
Day Shift
View more insights

PwC Benefits

Submitted by Company
Staff discounts
Professional Memberships
In-house learning tools
Referral Bonuses
Corporate Plan
Buy more leave! +7 more
Submitted by Employees
Work From Home
Health Insurance
Cafeteria
Job Training
Soft Skill Training
Free Transport +6 more
View more benefits

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PwC Kolkata Office Locations

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Kolkata Office
Plot Nos 56 & 57 -57, Electronics Complex, DN Block, Sector V, Salt Lake City Kolkata
West Bengal 700091
Kolkata Office
Plot No Y-14, Block EP,Sector V, Salt Lake Electronics Complex,Bidhan Nagar,Kolkata Kolkata
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