Marke Risk

Job Description & Summary:

PwC India are seeking a skilled market risk quant with a strong understanding of the Market Risk, Asset Liability Management, Liquidity management, Derivative Pricing & Fair Valuation, VaR, Treasury processes, Hedge Effectiveness/Hedge Accounting, Funds Transfer Pricing regulations. The individual should have expertise in quantitative modelling and knowledge of financial products in Treasury (derivative & fixed-income).

Requirements:

Master’s degree in finance, Economics, Mathematics, Statistics, Financial Engineering or a related quantitative field, ensuring a strong foundation in complex financial modeling

Understanding of market risk concepts and regulations, particularly Fair Valuation, VaR,, Sensitivities, Collateral Risk Management, Hedge Effectiveness & Hedge Accounting

Understanding of Spot and Derivative markets operations for equities, interest rate, commodities and foreign exchange products and valuation of the OTC and structured products

Understanding of Financial Modelling, Asset & Liability Management (ALM) and Transfer Pricing

Knowledge of Treasury operations in Front-office, Mid-office and Back-office

Understanding of Hedge effectiveness testing techniques including regression analysis, dollar offset method, critical terms match basis the Hedge accounting guidelines

Proficiency in programming languages such as Python/R for data analysis and modeling

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

Detail-oriented with strong organizational skills and ability to manage multiple priorities

5+ years of experience in market risk/ALM/Liquidity model development/validation

FRM/CQF/CFA certification would be a plus

The candidate also needs to have proficiency in one of the following:

Prior experience in advising Banks/ NBFCs/ Insurance / Corporate Treasury on the above areas

Treasury middle office/front office preferably in a bank treasury– Sound understanding of policies, processes, procedures, quantifications and regulatory reporting requirements and preferably should have played a role in defining them

The Individual

Prior experiences in managing and motivating the team in risk related areas

Strong ability to map client business requirements and convert the same to a viable business proposition

Strong communication skills with client facing experience

Ability to interact and make presentations at the CXO level

Prior experience in working with Bloomberg / Reuters/ Other Valuation Tools is desirable

Prior working knowledge with open solutions like R/Python is preferred