Risk Modelling Services - Market Risk Director
Who we’re looking for:
The world of Risk and Regulation is changing; join us on the journey and be part of creating a new and relevant financial services industry. At PwC we are seeking a Director with experience as a Front Office Quant or Risk with a focus on VaR, Market Risk, Model Validation, Risk Models, or Counterparty-Credit Risk.
About the team:
Our Financial Services Risk and Regulation (FSRR) team is made up of over 75 partners and 1300 professional staff and our numbers and capabilities are expanding every day. Within FSRR, the Banking Models proposition involves advising leading banking groups on a wide variety of risk, value and capital management issues. These include:
• Portfolio strategy and execution of that strategy;
• Risk modelling;
• Regulatory modelling;
You will work with our existing team of approximately 60 banking model specialists to build on our current portfolio of projects in model validation and credit risk modelling and increase our capacity and offering in the area of market risk methodologies. This will include:
• VaR modelling;
• RNIV framework - implementing/ removing through improvements to VaR model;
• FRTB - planning and implementation;
• Interaction with stakeholders including risk managers, traders, model validation, internal audit and regulators;
• Working with Market Risk managers to make the most effective use of VaR models.
Essential skills and experience:
• Significant experience of working within capital markets organisations (specifically investment banks), or from a professional services background;
• Experience of developing new business within capital markets organisations (specifically investment banks);
• Strong knowledge of Market Risk / VaR methodologies, Model Validation or Risk Management;
• Knowledge of banking models - Risk Models, VAR, Market and Counterparty Credit Risk;
• Ability to develop good client/internal client handling skills, including relationship-building skills that lead to increased consulting opportunities;
• External profile: an existing reputation in the market through a combination of consulting track record, conference appearances, technical professional networks and published work;
• Exceptional communication skills, with particular emphasis on communicating technical complexity to both technical and non-technical audiences;
• Strong people management and client relationship skills including inter-personal sensitivity, influencing and negotiation skills;
• Educated to degree level (or equivalent) in numerical subject.
Desirable skills/ attributes:
• Further qualification (such as MSc, PhD or professional qualification in relevant subject/area);
• Knowledge of at least one of the following: VBA, Matlab, C++, C#, R, SAS;
• Familiar with recent Regulatory developments e.g. FRTB;
• Experience communicating with regulators.