Apply now _ RC -Credit Risk - Associate 2

Job Description

DescriptionLine of ServiceAdvisoryIndustry/SectorNot ApplicableSpecialismRisk ArchitectureManagement LevelAssociateJob Description & SummaryA career in our Advisory Acceleration Centre is the natural extension of PwC s leading class global delivery capabilities. We provide premium, cost effective, high quality services that support process quality and delivery capability in support for client engagements.Market Risk JD: Person would be responsible for developing/validating/auditing market risk models and assisting clients on related issues.
• Desired candidate must have relevant experience in in statistical modeling, quantitative research, stochastic calculus, market risk management, or related field
• Independently build/validate and manage quantitative market risk analytical models
• Strong experience/knowledge in at least some of the following modeling areas (in quant space)
  • Pricing and valuation models- Derivatives (across one or more asset classes)
  • Market Risk Scenarios and Stress Testing
  • Interest Rate Curve Generation
  • Worked on 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 (SAS/R/ Python)
• Strong experience/knowledge in at least some of the following business areas
  • Good knowledge of market risk concepts: Risk Factor, VAR, Earning at Risk, cash flow at risk, ETL, PV01, Exotics, volatility measures, CIR model, Hull & White model, Monte Carlo simulation, Capital calculations etc.
  • Leveraging experiential know-how of a range of financial assets like Equity, Interest Rates, Forex etc.
  • Strong knowledge/experience of market derivatives, Credit derivatives, OTC products, Securitization products etc.
  • Knowledge of global risk areas like Libor transition, BASEL II/III, FRTB, SR-11/7 around data sufficiency, modeling methods, industry standards etc.
• Keep up to date with industry and academic model research.
• Assist 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, VBA etc.
• Experience with various tools like Murex, Fincad, Reuters, QRM, Bloomberg, Algo etc. is a plus.
• Non-functional skills
  • Understand 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 problem-solving skills; ability to isolate and solve issues using large amounts of data
  • Process orientation with strong technical skills and attention to detail
  • Demonstrate deep technical capabilities and industry knowledge of financial product
  • Willingness to travel to meet client needs
Preferred background: Desired candidate must have degree in a Finance, Economics, Statistics, Engineering + MBA; advanced degree a plus; with experience in Counterparty and Market Risk Analytics & Model development. CQF, FRM, CFA, CPA certification a plusEducation (if blank, degree and/or field of study not specified)Degrees/Field of Study required: Degrees/Field of Study preferred:Certifications (if blank, certifications not specified)Required SkillsOptional SkillsDesired Languages (If blank, desired languages not specified)Travel RequirementsNot SpecifiedAvailable for Work Visa Sponsorship NoGovernment Clearance Required NoJob Posting End DateDecember 31, 2021,

Keyskills :
customer relationsrecord keepingmarket risk managementms officecontent managementpresentation skills