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Market Risk Modelling - Manager

Employer
PWC 1
Location
UK
Salary
Competitive
Closing date
28 Jan 2022

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Sector
Accountancy
Contract Type
Permanent
Hours
Full Time
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We provide Risk Modelling services to Financial Services clients team. We have offices in London, Edinburgh, Manchester, Bristol and Mumbai. Our banking team supports clients with development, validation and assurance of the various models that are key to their business. We are well established market leaders in Model Risk Management, Credit Risk modelling and Stress Testing, and we are looking to expand our offering for Trading Book Models, algorithmic trading and Market Risk. You will be a key part of this growth story and will have an opportunity to work on exciting projects in a well-recognised organisation and team.

We're looking for a driven and enthusiastic candidate to join our team. As part of the role, you will have the opportunity to work with Derivative Pricing, Market Risk models and/or Algorithmic Trading risk controls, all within a dynamic, diverse and inclusive team that embraces collaborative values and flexible working.

We are looking for candidates with experience in working on either Market Risk projects involving validating risk measures or developing those, or with algorithmic trading risk control experience.

Ideally, we are looking for individuals with a professional experience in developing or validating Market Risk models (Internal Models Approach) used to calculate market risk capital requirements or with a quantitative background and risk management background in algorithmic strategies. Experience of modelling requirements under the Fundamental Review of the Trading Book (FRTB) regulation would be a plus.

Any experience in the following would be welcome: VaR, Expected Shortfall, P&L Approximation Functions, Risk Factor Eligibility, FRTB-SA, TWAP/VWAP and other common algo strategies, Market Risk management.

We are also open for considering market risk managers who have a quantitative background and specialised in given products or familiar with market risk regulations such as FRTB.

Essential Skills and Experience
  • Masters or PhD in maths, physics, engineering, quantitative finance or related topics (eg. Statistics, data).
  • Experience in implementation or validation of Market Risk models (IMA); or experience in implementing or risk managing algorithmic strategies.
  • Strong interpersonal skills.
  • Excellent communication skills and the ability to present complex issues in a clear and articulate way to a non-technical audience
  • Strong problem solving, analytical skills and attention to detail, and with an ability to think laterally.
  • Project Management skills.

Additional Desirable Skills and Experience
  • Model validation and/or development experience.
  • Ability to multi-task across multiple assignments and prioritise workloads, as well as managing deadlines.
  • Entrepreneurial mindset, with a focus on delivering business value.
  • Enthusiasm and motivation to embrace new emerging financial technologies such as AI.

Risk
We're a leading provider of trust in the digital world - in the eyes of our people, our clients and our stakeholders. Today's business environment is different. More complex. More connected. Companies not only face new and unknown risks, but also new and untapped opportunities. Our team is at the forefront of this change, join us to be a part of transforming how risk is perceived and capitalised on.

Not the role for you?
Did you know PwC offer flexible contract arrangements as well as contingent work (ie temporary or day rate contracting)?

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.

The Deal
We want all of our people to feel empowered to be the best that they can be, which is why we have 'The Deal'.

Find out more about our firmwide Employee Value Proposition: https://www.pwc.co.uk/careers/about-us/the-new-deal.html

Diversity
Valuing Difference. Driving Inclusion.

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 because creating value through diversity is what makes us strong as a business, enabling us to solve important problems and deliver value to our clients. We encourage an inclusive culture where people can be themselves, are valued for their strengths and are empowered to be the best they can be. As an organisation with an increasingly agile workforce, we also support different ways of working offering flexible working arrangements. Learn more here about our work to support an inclusive culture.
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