Job Description

Line of Service

Advisory
Industry/Sector

FS X-Sector
Specialism

Risk
Management Level

Senior Associate
& 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.
PwC India - Market Risk - FRTB


:


PwC India are seeking a skilled market risk quant with a strong understanding of the Fundamental


Review of the Trading Book (FRTB) regulations. The individual should have expertise in market risk, Basel


2.5 norms, and FRTB requirements.


Location: Mumbai


Grade - Associate/ Senior Associate/ Manager


Experience - 2-9 Years Experience


Role Summary


The role demands a good level of understanding of Market Risk/Basel 2.5 norms/FRTB along with strong


hands-on experience in Change management and Business Analyst projects.


PwC India - Market Risk - FRTB


:


PwC India are seeking a skilled market risk quant with a strong understanding of the Fundamental


Review of the Trading Book (FRTB) regulations. The individual should have expertise in market risk, Basel


2.5 norms, and FRTB requirements.


Location: Mumbai


Grade - Associate/ Senior Associate/ Manager


Experience - 2-9 Years Experience


Role Summary


The role demands a good level of understanding of Market Risk/Basel 2.5 norms/FRTB along with strong


hands-on experience in Change management and Business Analyst projects.


Responsibilities:
• Perform review of the risk models and methodologies in accordance with FRTB requirements as a

part of the third line of defense in the model risk management cycle.
• Collaborate with internal audit and compliance teams to facilitate audits and regulatory inspections

related to FRTB implementation and models.
• Conduct periodic interactions with the development and the validation teams to understand their

assessment of the model.
• Ensure accuracy of the model design and risk analysis. Validate the accuracy of the testing and

assessment carried out by model developers and validators.
• Perform independent testing around the sensitivity analysis, model implementation and other

components of the model to assess the accuracy.
• Raise audit observations and assess the severity of the same. Communicate these observations to

the relevant stakeholders with appropriate reasoning and get approvals for the same.
• Produce reports and presentations on FRTB-related market risk metrics for senior management and

regulators. Stay abreast of regulatory developments and industry best practices related to FRTB and


market risk.
• Strong quantitative and analytical skills, including proficiency in statistical analysis and risk

modeling.
• Possess knowledge of derivative products, valuation and pricing methodologies and sensitivity

analysis.


Requirements:
• Bachelor's or master's degree in finance, Economics, Mathematics, Statistics, or a related

quantitative field.
• Solid understanding of market risk concepts and regulations, particularly FRTB.
• Experience in understanding and interpreting the computation of risk measures (VaR, IRC, ES etc.),

management of risk limits, risk reporting etc.
• Experience in risk management within a financial institution, preferably in a market risk or

quantitative analysis role.
• Proficiency in programming languages such as Python, R, or MATLAB for data analysis and

modeling.
• Excellent communication skills with the ability to explain complex concepts to non-technical

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

Mandatory Skill Set- Product Control


Preferred Skill Set- FX/FXO, Rates, Fixed Income, Credit, Commodities, Treasury etc.


Year of experience required- 4+ 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

Product Controlling
Optional Skills

Desired Languages •(If blank, desired languages not specified)•

Travel Requirements

Available for Work Visa Sponsorship?

Government Clearance Required?

Job Posting End Date