Job description

Stress Testing Senior Manager

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Line of service
Assurance
Grade
Senior Manager/Associate Director
Specialism
Financial Services Risk and Regulation - Risk and Prudential
Industry
Financial services risk and regulation
Position type
Full Time
Job ID
24470BR

Job description

About the team

FSRR currently comprises around 80 partners and 1300 professional staff and is expanding rapidly with revenue of approximately £240m in FY16. The team advises leading banking groups on a wide variety of risk, value and capital management issues, including:

  • Model governance and review
  • Model validation and assurance
  • Portfolio profitability and optimisation
  • Regulatory modelling (stress testing/IMM/FRTB/Solvency II)
  • Credit risk modelling and IFRS9
  • Valuations support

About the role


We are looking for a Senior Manager to join the Risk Management Services (RMS) team where the focus will be on providing risk solutions to our banking clients who are facing increasingly stringent regulatory requirements. In particular, this role will centre on stress testing, including the forthcoming implementation of IFRS 9. As well as this, stress testing requirements, stress balance sheet and capital optimisation will also be in focus. Increasing attention on quantitative analysis for banking audits and quantitative advisory services is also a major part of what the team are looking at.

Duties within this role include, but are not limited to:

  • Developing and validating stress testing models across risk, finance and treasury disciplines
  • Designing stress testing & capital analytics frameworks
  • Developing and maintaining quantitative & qualitative methodologies to cover various regulatory capital, stress testing & economic capital requirements for banks
  • Designing and parametrising economic scenarios (including IFRS9 scenario generation) for assessing Bank’s business model vulnerabilities (P&L and B/S), risk profile and capital requirements.
  • Utilising stress testing the design, assessment and strategies for capital management and balance sheet optimisation.
  • Preparation for regulatory submissions & approvals e.g., stress testing basis of preps
  • Interaction with stakeholders including risk managers, traders, model validation, internal audit, Regulators
  • Maintaining an up-to-date view of regulatory and industry developments in relation to capital, stress testing, risk modelling, sharing this with the wider team and maintaining leading edge best practice in work performed

Essential skills and experience
  • Educated to degree level (or equivalent) in numerical subject
  • Previous experience of working within Banking organisations, or from a professional services background, covering credit risk, stress testing, treasury risk, model validation, risk management, or other relevant field
  • Knowledge of at least one of the following: VBA, SAS, Matlab, C++, R, Python
  • Good knowledge of banking models in one of the following areas: IRB Models, Stress Testing Econometric Models, Economic Capital
  • Familiar with recent Regulatory developments e.g. BoE / ECB / EBA Stress Testing, ICAAP, MREL, FRTB
  • Exceptional communication skills, with emphasis on communicating technical complexity to both technical and non-technical audiences
  • Evidence of working well within a team, with flexibility to take on different roles.
  • Creativity and problem-solving skills in individual, team and collaborative consultant-client settings
  • Strong commitment to both personal and team success
  • Openness and willingness to share ideas and knowledge


Desirable skills/attributes

  • Further qualification (such as MSc, PhD or professional qualification in relevant subject/area, e.g, mathematical finance, Econometrics or technical research involving maths or numerics)

Location
London


Assurance

Assurance is a dynamic place to be right now, and the variety of opportunities on offer is unprecedented. It’s work that really does matter. It matters for businesses, governments and society at large. Our team provides confidence on the most complex decisions companies have to take and this provides a wealth of opportunities to everyone who joins us and works with us.

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.

Learn more here www.pwc.com/uk/careers/experienced/apply

Diversity

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, as well as those who reflect the diverse nature of our society. And we aim to encourage a culture where people can be themselves and be valued for their strengths. Creating value through diversity is what makes us strong as a business and as an organisation with an increasingly agile workforce, we're open to flexible working arrangements where appropriate.

Learn more here www.pwc.com/uk/diversity

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