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Consulting - Risk Measurement - Model Validation/Counterparty Risk - M - London

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Consulting - Risk Measurement - Model Validation/Counterparty Risk - ManagerReference CON01064Location LondonService ConsultingSpecialism Consulting - Risk & RegulationIndustry FS Risk & RegulationWho we are looking for
We are seeking individuals at Manager grade, based in London and on client sites, in the area of counterparty credit risk measurement/modelling, management and reporting, regulatory compliance (Basel II and Basel III, Dodd Frank) and corresponding Pillar II and Pillar III capital requirements.
The role we are seeking to recruit for is to work alongside a Director/Senior Manager to develop capabilities across the above propositions by developing methodologies, tools and models to improve clients current counterparty credit risk practices.
Our Financial Services Risk and Regulation (FSRR) team is made up of 50 partners and 800 professional staff and our number and capabilities are expanding every day.
At Manager grade, the role consists of delivering projects for the client as part of a team, and may include leading small teams. Successful candidates will also be able to demonstrate that they can manage multiple tasks and projects. They would also need to have the capacity to take on greater responsibilities as they develop within the firm. They should be of an inquisitive mindset and interested in constantly updating and developing their professional and technical skills.
The Risk group within Consulting at PwC advises leading financial services organisations on a wide variety of risk and capital management issues. These range from regulatory requirements such as Basel III and Solvency II, to operational assignments such as defining and setting risk appetite and embedding risk management through the organisation.
About the role
Our team focuses on the following client propositions:
• Performing model validation for credit and counterparty risk models (Standardised and IMM) across different asset classes • Reviewing and validating counterparty risk exposure methodologies and associated fair value adjustments (CVA / DVA / FVA / RWA) • Providing advice on business improvement initiatives in the areas of revenue, risk, capital, balance sheet, RWA, economic capital and costs. This can be at business, desk, trader or book levels and down to individual trades, or clients as appropriate • Reviewing and validating market & credit risk methodologies • Developing and validating models to be used for calculation of economic capital and pillar II and Pillar 3 regulatory capital. • Reviewing and designing RWA model governance processes and see them through to full implementation and use by the business users. • Reviewing of stress testing methodologies including aggregation for market and credit risk • Defining hedging strategies using derivative instruments and demonstrating their effectiveness to manage risk
We provide a full suite of risk and capital management services covering the full range of risk disciplines, assisting our clients in:
• Risk management frameworks and operations: Designing the framework within which risk is managed in the business, and building the infrastructure to support the delivery of risk management in the business • Risk regulation: Understanding and responding to risk-related regulatory developments • Risk quantification, valuation, and modelling: Leveraging quantitative tools and techniques to support business decisions • Risk technology: Design and implementation of technology to support the timely and effective management of risk • Specialist risk disciplines: Design and implementation of tools, methodologies, and processes relating to credit risk, market risk, operational risk, liquidity risk, and insurance risk, as well as capital management
This role is focussed on risk quantification & modelling, although wider experience in risk management will prove advantageous.
• Post graduate degree (MSc or PhD) degree preferably in a quantitative/economics/business or a numerate / quantitative discipline (e.g. maths, physics, engineering, financial maths, finance, statistics) discipline. Accountancy/finance qualification desirable.
• A track record in counterparty credit risk quantification & modelling for a number of asset classes Fixed Income, Equities, Rates and FX, Commodities or Credit;
• Strong knowledge and practical understanding of the Credit Valuation Adjustment CVA, from a regulatory , accounting and business perspective.
• Knowledge of credit risk processes/metrics e.g. LGD, PD and RWA and sound knowledge of Basel II and Basel III requirements
• Modelling and measurement of Counterparty Credit Risk, with particular focus on internal model method, including risk factor simulation, product valuation
• Incremental Risk Charge (Basel 2.5) - direct experience of developing and implementing methodologies for IRC with particular focus on default and migration risks as well as the comprehensive risk measure.
• Ideally you will have Capital Management and optimisation- including examples of Capital (Economic and/or Regulatory) and Balance Sheet/ RWA Optimisation structures and techniques with particular focus on more recent regulatory changes.
• The candidate is likely to have a proven track record in managing projects and people within in a risk management function, risk methodologies unit, model validation team or front office quant / structuring environment.
• As well as the technical knowledge in the area, candidate will need the ability to clearly articulate the benefits and practical implications of proposed methodologies to clients.
• Experience in the financial services sector, within capital markets or a quantitative consulting environment.
• Previous consulting experience desirable but not essential
• A good understanding of the role of risk management in helping an organisation achieves its business goals.
• Effective communication and presentation skills
• Good interpersonal skills to support working with colleagues and clients.
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

PwC Professional focuses on five core attributes; whole leadership, technical capabilities, business acumen, global acumen and relationships. We use this framework to recruit, develop and
assess our people, at all grades and all areas of our business, because we
expect all of our people to be leaders.

DiversityWe 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.
As an organisation with an increasingly agile workforce,
we're open to flexible working arrangements where appropriate.
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