Market Risk Senior Associate

28 Mar 2018
24 Apr 2018
Contract Type
Full Time
About the team
Our Financial Services Risk and Regulation (FSRR) team is made up of over 80 partners and 1300 professional staff and our number and capabilities are expanding every day. Within FSRR, the Banking Models proposition involves advising leading banking groups on a wide variety of risk, value and capital management issues. These include:
  • Regulatory modelling - stress testing/market risk (IMM, FRTB, etc.)
  • Portfolio modelling (risk aggregation and allocation)
  • Model governance and review
  • Model validation and assurance
  • Portfolio profitability and optimisation
  • Credit risk modelling and IFRS9
  • Valuations support

About the role

The role will involve working with our existing team of approximately 60 banking model specialists to build on our current portfolio of projects in model validation and credit risk modelling and increase our capacity and offering in the area of market risk methodologies. This will include:
  • VaR modelling, e.g. risk-factor modelling, historical simulation, partial/full-reval methods
  • RNIVs: implementing/ removing through improvements to VaR model
  • FRTB, planning and implementation
  • VaR methodology documentation and/or model validation
  • Remediating findings from Validation/Internal Audit/Regulator
  • VaR model performance testing (backtesting, p/l explain)
  • Preparation for regulatory approvals e.g., IMA waiver
  • Interaction with stakeholders including risk managers, traders, model validation, internal audit, Regulators
  • Maintaining an up-to-date view of regulatory and industry developments in relation to market risk modelling, sharing this with the wider team and maintaining leading edge best practice in work performed
  • Working with Market Risk manager to make most effective use of VaR models
Essential skills and experience
  • Educated to degree level (or equivalent) in numerical subject
  • Previous experience of working within capital markets organisations (specifically investment banks), or from a professional services background, covering market risk / VaR methodologies, model validation, risk management, valuation or other relevant field
  • Knowledge of at least one of the following: VBA, Matlab, C++, C#, R, Python
  • Good knowledge of banking models in one of the following areas: Risk Models, VaR, Counterparty Credit Risk Models
  • Familiar with recent Regulatory developments e.g. FRTB
  • Exceptional communication skills, with emphasis on communicating technical complexity to both technical and non-technical audiences
  • Evidence of working well within a team, with flexibility to take on different roles.
  • Creativity and problem-solving skills in individual, team and collaborative consultant-client settings
  • Strong commitment to both personal and team success
  • Openness and willingness to share ideas and knowledge

Desirable skills/ attributes:
  • Further qualification (such as MSc, PhD or professional qualification in relevant subject/area, e.g, mathematical finance or technical research involving maths or numerics)
About Us
About PwC

We're one of the world's leading professional services organisations. From 158 countries, we help our clients, some of the most successful organisations on the globe, as well as its most dynamic entrepreneurs and thriving private businesses, to create the value they want. We help to measure, protect and enhance the things that matter most to them.

The skills we look for in future employees

All our people need to demonstrate the skills and behaviours that support us in delivering our business strategy. This is important to the work we do for our business, and our clients. These skills and behaviours make up our global leadership framework, 'The PwC Professional' and are made up of five core attributes; whole leadership, technical capabilities, business acumen, global acumen and relationships.

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We work in a changing world which offers great opportunities for people with diverse backgrounds and experiences. We seek to attract and employ the best people from the widest talent pool, as well as those who reflect the diverse nature of our society. And we aim to encourage a culture where people can be themselves and be valued for their strengths. Creating value through diversity is what makes us strong as a business and as an organisation with an increasingly agile workforce, we're open to flexible working arrangements where appropriate.

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