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Market Risk Modelling - Manager

Employer
PwC
Location
London (Greater)
Salary
Competitive
Closing date
5 Feb 2023

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Salary band
Competitive
Contract type
Permanent
Hours
Full Time
Where will they be working?
Hybrid - mostly office
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Job Details

We provide Risk Modelling services to Financial Services clients. 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
Risk is all around us and in our complex world, is changing all the time. Our teams bring people from diverse backgrounds together, using their skills and cutting-edge technology, to help solve complex problems. We are pioneers in a world of changing risk and our market leading services build resilient organisations. Join us and together, we can support our clients to rethink risk.


Not the role for you?
Did you know PwC offers flexible career arrangements and contract work? Learn more.

The skills we look for
The PwC Professional is our global framework for defining and encouraging leadership at all levels. Learn more.

The Deal
‘The Deal’, our firmwide Employee Value Proposition’ empowers our people to be the best they can be. Learn more.

Our commitment to you
We’re committed to building a culture that empowers all of our people to thrive and feel a sense of belonging at PwC. Learn more.

Application support
If you’re a person with a disability, if you’re neurodivergent, or if you have a condition that you believe may affect your performance during our selection process, we’ll be happy to make reasonable adjustments to our processes for you. Learn more.

Company

Our values define how we do things. And our purpose is why we exist - now more than ever - to build trust in society and solve important problems for our clients and our communities. In a world we no longer recognise, we need to rely on the strength and agility of our people to help us to navigate these uncertain times.

We're committed to ensuring that care and our people's wellbeing remains central to our culture. While we may not know what’s ahead, we can do all we can to help shape the future. As we continue to navigate this unprecedented time, it’s important that we support our people, to help them take care of themselves and to ensure the right support is available when it’s needed.

For now, we ask you to join our talent network and stay in touch with what’s happening in real time, including new possibilities as they arise. Visit our website for more information on how we’re responding to this pandemic and what changes we’re making to our recruitment process. 

Stay safe and stay connected in this rapidly changing world.

PwC

Opportunities are at the heart of a career with us.   Opportunities for you to sharpen your skills, collaborate with experts, build lasting relationships and make an impact in a place where people, quality and value mean everything.

Our offer to you...

·         Be part of the world’s leading professional services network and enjoy the benefits that come with that.

·         Meet and collaborate with highly talented people from diverse backgrounds, developing new ways of thinking, creating value for you, for PwC and for our clients.

·         Work in a challenging and stimulating environment where you’ll be inspired to reach your full potential.

·         Identify and develop your skills, build on your existing strengths and discover new ones you didn’t know you had. Watch your expertise and influence grow with us.

 

The PwC deal

No matter which area of the business you choose to join, all offer the same deal.  The opportunity to grow as an individual, to meet new people, and build lasting relationships that will stay with you for life.  All whilst making an impact in a place where people, quality, and value, mean everything.  Your hard work will be rewarded with a competitive salary and a personally tailored benefits package.

 

What you need to bring to us

Your intellect, willingness to learn, ability to build relationships, put yourself in others’ shoes, while always making a positive impact with our clients and each other.

The skills, insights and connections you develop at PwC are career defining wherever your career may take you. It’s the opportunity of a lifetime. Take it.

 

 

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