IN-Senior Associate Market Risk Quant Captive Financial Services Advisory Pune

Pune

Full Time Mid-level / Intermediate USD 43K - 80K *

PwC

We are a community of solvers combining human ingenuity, experience and technology innovation to help organisations build trust and deliver sustained outcomes.

View all jobs at PwC

Apply now Apply later

Posted 12 hours ago

Line of Service

Advisory

Industry/Sector

FS X-Sector

Specialism

Operations

Management Level

Senior Associate

Job Description & Summary

A career within Financial Risk and Regulatory services, will provide you with the opportunity to help business leaders embed a proactive and dynamic risk management capability and mind set into their corporate business practices. From strategy through to implementation, we help put in place people, processes and technology so they can leverage financial risk management to identify new opportunities and pursue success as smoothly, systematically and sustainably as possible in the face of changing markets, technologies and competition.

*Why PWCAt PwC, you will be part of a vibrant community of solvers that leads with trust and creates distinctive outcomes for our clients and communities. This purpose-led and values-driven work, powered by technology in an environment that drives innovation, will enable you to make a tangible impact in the real world. We reward your contributions, support your wellbeing, and offer inclusive benefits, flexibility programmes and mentorship that will help you thrive in work and life. Together, we grow, learn, care, collaborate, and create a future of infinite experiences for each other. Learn more about us.At PwC, we believe in providing equal employment opportunities, without any discrimination on the grounds of gender, ethnic background, age, disability, marital status, sexual orientation, pregnancy, gender identity or expression, religion or other beliefs, perceived differences and status protected by law. We strive to create an environment where each one of our people can bring their true selves and contribute to their personal growth and the firm’s growth. To enable this, we have zero tolerance for any discrimination and harassment based on the above considerations. "

Job Description & Summary:

Must hold a Master’s or Ph.D. degree in Mathematics, Statistics, Financial Engineering, or a related quantitative field, ensuring a strong foundation in complex financial modeling.
3+ years of experience in market risk model development/validation
Proficiency in programming languages such as Python, R and strong analytical skills for effective data interpretation and model analysis.
Excellent verbal and written communication skills for effective articulation of complex quantitative concepts, and a collaborative approach for working in team environments with other analysts, risk managers, and IT professionals.
Candidates with exposure to FRTB- Standardized Approach implementation or FRTB IMA - Model development experience will be preferred
FRM/CQF/CFA certification would be a plus

Responsibilities:

Market Risk Model Development or Validation experience covering Value at Risk (VaR), Stress VaR (historical full revaluation, Taylor var approximation (delta gamma method), Monte Carlo) for linear instruments and derivative products, VaR mapping, back-testing VaR, Expected Shortfall, Market risk Stress testing Loss estimation, RWA calculation, Sensitivity & Scenario analysis and other coherent risk measures, modeling dependence: correlations and copulas, term structure models of interest rates, and volatility modeling
Deep understanding of the Fundamental Review of the Trading Book (FRTB) regulations, specifically expertise in the Internal Models Approach (IMA) and the Standardized Approach (SA).
IMA & CVA Experience is preferred
Demonstrated experience in development/validation of quantitative models within the banking sector, aligning with FRTB standards, particularly in market risk modeling.
Familiarity with risk factor modellability concepts, and adeptness in calculating capital requirements under FRTB guidelines.
Perform the back test of the distribution of simulated risk factors
Conduct quantitative analysis of market data, including historical market data and current market trends, to identify potential risks and recommend appropriate risk mitigation strategies
Stay up to date with industry trends, regulations, and best practices related to market risk management

Mandatory skill sets:

Market Risk Quant

Preferred skill sets:

Model Development / Validation and FRTB

Years of experience required:

3+ Years

Education qualification:

Master’s or Ph.D. degree

Education (if blank, degree and/or field of study not specified)

Degrees/Field of Study required: Master Degree

Degrees/Field of Study preferred:

Certifications (if blank, certifications not specified)