Senior Associate- Market Risk Quant

4 days ago

Delhi Mumbai NCR, India d6c94464-03dc-4df0-94ec-dfaa17618eee Full time ₹ 12,00,000 - ₹ 36,00,000 per year

Job Description:

PwC India is seeking skilled resources with good understanding of different aspects of Business Analysis. The individual should have good knowledge around Market Risk/Basel 2.5 norms/FRTB.

Location: Mumbai

Experience 5-9 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 a BA role for Market risk projects in Change Management and work with various stakeholders in understanding the requirements pertaining to VaR calculations/Basel 2.5, Backtesting, Greeks, Sensitivity Analysis.
  • Articulate the requirements into simpler, understandable statements through tools in the form of a Business Requirement Document (BRD), Functional Specification Document (FSD) etc.
  • Work with development team to model the requirements, and propose, calibrate, and implement appropriate assumptions.
  • Engage in constant and continuous communication with all the stakeholders to ensure smooth completion of tasks and report any deviations from proposed timelines.
  • Prepare and consolidate test cases across the capital calculations, including any adjustments, reconciliation, exception management, reporting, etc.
  • Review test cases ensuring completeness of UAT coverage & Change Management.
  • Collaborate seamlessly across various business units, integrating change management principles to ensure holistic alignment with organizational goals.
  • Prepare project reports and trackers highlighting risks, analyzing trends an recommendations /adjustments that address or capitalize on changes required.

Requirements:

  • Should be well versed with Change management process including drafting business requirement documents, functional specifications documents, preparing user stories and test cases.
  • Ability to write multi-application test strategies, test plans, and detailed test cases with expected outcome.
  • Experience in understanding and interpreting the computation of risk measures (VaR, IRC, ES etc.), management of risk limits, risk reporting etc.
  • Knowledge on Basel norms and FRTB.
  • Strong analytical skills, communication/ interpersonal, documentation, stakeholder management, and teamwork skills required.
  • Experience and strong knowledge of data flow, inputs and data management tools such as JIRA, Confluence etc.
  • Proficiency in data analysis, virtualization and BI solutions SQL, Python, Dremio, PowerBI, Alteryx, Tableau etc.

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