IN-Specialist 3 _ Market Risk Quant_Captive Financial Services_Advisory_Mumbai

Line of Service

Industry/Sector

Specialism

Management Level

Job Description & Summary

*Why PWC

At 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:

We are seeking a highly skilled Market Risk/Derivatives Pricing Quant to join our dynamic team. The ideal candidate will have extensive experience in model development/validation, a deep understanding of market risk/derivatives pricing, and proficiency in Python programming. Knowledge of leading financial regulations, such as the Fundamental Review of the Trading Book (FRTB), is essential.

Responsibilities:

1. Model Development/Validation:

o Develop/validate quantitative models for market risk/derivatives pricing.

o Conduct rigorous testing and performance assessments of models to ensure accuracy and robustness.

o Implement model improvements based on backtesting results and changing market conditions.

o Collaborate with other quants, risk managers, and traders to ensure models meet business needs and regulatory requirements.

2. Market Risk Management:

o Analyze and monitor market risk exposures across various asset classes.

o Develop risk metrics, such as Value at Risk (VaR), and conduct stress testing.

o Provide insights and recommendations to mitigate risk and optimize portfolio performance.

o Stay updated on market trends, economic indicators, and geopolitical events that could impact risk profiles.

3. Derivatives Pricing:

o Develop/validate pricing models for a wide range of derivatives, including options, futures, swaps, and exotic products.

o Ensure pricing models are aligned with industry standards and best practices.

o Conduct sensitivity analyses and scenario testing to assess the impact of market changes on derivative valuations.

4. Regulatory Compliance:

o Ensure compliance with relevant financial regulations, including FRTB.

o Prepare documentation and reports for regulatory submissions and audits.

o Monitor regulatory updates and assess their impact on existing models and processes.

5. Programming and Data Analysis:

o Utilize Python and other programming languages to develop, implement, and validate quantitative models.

o Perform data analysis and visualization to support model development and risk assessment.

o Automate processes to enhance efficiency and accuracy in model implementation.

Requirements:

· Advanced degree (Master's or PhD) in a quantitative discipline such as Mathematics, Physics, Engineering, Finance, or a related field.

· Proven experience in market risk and derivatives pricing model development/validation.

· Strong programming skills in Python; experience with other languages (e.g., R, C++, MATLAB) is a plus.

· In-depth knowledge of financial markets, instruments, and risk management techniques.

· Familiarity with leading financial regulations, including FRTB.

· Excellent analytical, problem-solving, and quantitative skills.

· Strong communication and interpersonal skills, with the ability to work effectively in a collaborative team environment.

· Attention to detail and a commitment to producing high-quality work

Mandatory skill sets:

Market Risk Model Development or Validation

Preferred skill sets:

-FRTB

-Utilize Python and other programming languages to develop, implement, and validate quantitative models

Years of experience required:

2+ Years

Education qualification:

Master’s or Ph.D. degree

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

Certifications (if blank, certifications not specified)

Required Skills

Optional Skills

Desired Languages (If blank, desired languages not specified)

Travel Requirements

Available for Work Visa Sponsorship?

Government Clearance Required?

Job Posting End Date