Senior Associate

Line of Service

Advisory

Industry/Sector

FS X-Sector

Specialism

Risk

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.

Job Title: Market Risk Analyst
Location: Mumbai
Type: Permanent
Job Summary: PwC India is seeking highly skilled Market Risk Professionals to join our team.
The Market Risk Professional will be responsible for developing and implementing effective
market risk management strategies for our clients. The ideal candidate should have a working
knowledge of market risk measures and modeling techniques, including Value at Risk (VaR),
Stressed VaR (SVAR) Expected Shortfall (ES), Market risk Stress Loss/RWA, FRTB, Libor
transition, term structure models of interest rates, and volatility modeling. Experience in working
on model development/model validation of market risk models is a plus. The ideal candidate
must have expertise in Python programming.
Key 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 and other coherent risk measures, modeling
dependence: correlations and copulas, term structure models of interest rates, and
volatility: smiles and term structures.
 Document the detailed model methodology including model assumptions, limitations,
and weaknesses.
 Pricing (linear instruments and Derivatives) and Curve construction and calibration.
 Conduct quantitative analysis of market data, including historical market data and current
market trends, to identify potential risks and recommend appropriate risk mitigation
strategies.
 Performing various testing to assess the performance of the pricing models developed.
 Prepare and deliver presentations to clients on market risk management and related
topics.
 Stay up to date with industry trends, regulations, and best practices related to market risk
management.
 Work collaboratively with other PwC teams to deliver integrated solutions to clients.
 Experience of building and maintaining stakeholder relationships

Qualifications:  
 2 to 8 years of experience in model development/validation of market risk models.
 Strong knowledge of financial products, derivative pricing, and market risk models.
 Strong programming skills in Python is mandatory.
 Excellent analytical and problem-solving skills, with a high attention to detail.
 Excellent written and verbal communication skills.
 Location: Mumbai

Mandatory Skill Set: Quantitative Analysis
Preferred Skill Set: Market Risk Model Development or Validation
Year of experience required: 2 to 8 Years
Qualifications: Post Graduation

Education (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 Skills

Market Risk Modeling, Quantitative Analytics

Optional Skills

Desired Languages (If blank, desired languages not specified)

Travel Requirements

Available for Work Visa Sponsorship?

Government Clearance Required?

Job Posting End Date