RC - Market risk - Senior Manager

Market and Counterparty Risk Analytics Professional Job Specification Candidate would be responsible for developing, validating, auditing market risk valuations/models and counterpart credit risk models for trading, investment and corporate portfolios of global financial institutions. Candidates would be expected to support financial institutions on meeting jurisdictional regulatory requirements and their broader risk management initiatives.
Multiple positions required;
Experience level 212 years of experience;
Location Bangalore
Core Skill Requirements Candidate must have relevant experience in in statistical / mathematical modeling, quantitative research, counterparty and market risk management, or related field at a reputed bank, investment or broker services, asset management firm or a consulting firm. Wider skill requirements include
Independently built and managed quantitative market and counterparty risk analytical models
Strong experience/knowledge in at least some of the following areas (in quant space)
o Counterparty Credit Risk (PFE, CVA, XVA)
o Pricing and valuation Derivatives (across one or more asset classes)
o Modeling of Risk Metrics (e.g, EPE, PFE, RWA, Greeks)
o Market Risk Scenarios and Stress Testing
o Development, prototyping and backtesting of Monte Carlo Credit Exposure Models o Incremental default risk, specific risk charge and stressed VaR o Worked on multiple Market Risk Models like to develop/review calculation of VaR(Historical, Parametric and Monte Carlo), RNiV, CCAR, IRC Model Validation/ development and present value for various type of instruments using any statistical tool
Strong experience/knowledge in at least some of the following areas (business knowledge) o Good knowledge of market risk concepts Risk Factor, VAR, Earning at Risk, cash flow at risk, ETL, PV01, Independent Validation, Exotic derivatives, FX, Interest rate derivatives, volatility, commodities, credit derivatives, Fixed income, Hull & White, Monte Carlo simulation, Capital calculations
o Knowledge and experience with counterparty risk concepts (PFE,SACCR, EPE etc o Leveraging experiential knowhow of a wide range of financial products like Equity, Derivative, Swaps, IR, Credit derivatives, OTC products, Swaps, Securitization, CDOs etc.
o Knowledge of one or more of global regulatory Topics BASEL II/III, IFRS 9, CCAR/DFAST, CECL, FRTB, SR11/7 around data sufficiency, modeling methods, industry standards etc. Assisted clients to design and implement strategic and functional changes across risk management, treasury, front office, middle office, and back office activities with a focus on risk and valuation processes, regulatory compliance, analytics, strategy, and organizational structure.
Programming and Algorithms R, Python, SAS, Matlab, Scala, VBA etc.
Experience with with Murex, QRM, Reuters, FINCAD, Bloomberg and Algo is a plus
Nonfunctional skill requirements In order to succeed in PwC Risk CoE, it is desirable for candidates to possess
Understanding of market trends and demands in the financial services sector and issues faced by clients by staying abreast of current business and industry trends relevant to the clients business
Excellent oral and written communication skills
Solid analytical and problemsolving skills; ability to isolate and solve issues using large amounts of data
Process orientation with strong technical skills and attention to detail
Deep technical capabilities and industry knowledge of financial products
Willingness to travel to meet client needs, as needed