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Market Risk Modelling Consultant, Director

Posted: 16 Feb 2021 Closes: 18 Mar 2021
London, London Region UK Competitive
Permanent & Full-time 1487119202

Job description

About the Team:

Our Risk Modelling Services (RMS) team is made up of over 15 partners and 300 professional staff; the team is made up of modelling specialists, supporting mainly clients in Financial Services.

Within RMS, the Banking team advises banking groups on a wide variety of risk, value and capital management issues which include:
  • Regulatory modelling - stress testing/market risk (IMA, FRTB, etc.)
  • Portfolio modelling (risk aggregation and allocation)
  • Model governance and review
  • Model validation and assurance
  • Portfolio profitability and optimisation
  • Credit risk modelling and IFRS
  • Valuations support and derivatives modelling
About the role

We are seeking an experienced Director to help build the capability and deliver risk advisory solutions to banking clients who are facing increasingly demanding regulatory requirements, such as the LIBOR transition, or Fundamental Review of the Trading Book (FRTB). The candidate will have a particular focus on trading-book risk models, and will support clients with developing and reviewing e.g., Value At Risk (VaR), Expected Shortfall (ES), counterparty-credit models. There is a need to build our capability in this area in response to the forthcoming implementation of the FRTB rules.

Skills and Experience:
  • Significant experience leading the development of Market Risk methodologies and/or other regulatory risk models.
  • Strong network within tier 1 banks.
  • Ability to anticipate client's needs, identify practical solutions and contribute to the definition of new propositions and the firm's Market Risk Models go-to-market strategy
  • An up-to-date view of regulatory and industry developments in relation to market risk, counterparty credit risk, model risk management and derivatives valuation
  • Good experience in delivering risk modelling projects and programs including experience of model validation
  • Significant experience in scoping and developing plans for tactical and strategic initiatives
  • Excellent verbal, written and influencing skills

Risk Assurance

We're a leading provider of trust in the digital world - in the eyes of our people, our clients and our stakeholders. Today's business environment is different. More complex. More connected. Companies not only face new and unknown risks, but also new and untapped opportunities. Our team is at the forefront of this change, join us to be a part of transforming how risk is perceived and capitalised on.
Not the role for you?

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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.

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Valuing Difference. Driving Inclusion.

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 because creating value through diversity is what makes us strong as a business, enabling us to solve important problems and deliver value to our clients. We encourage an inclusive culture where people can be themselves, are valued for their strengths and are empowered to be the best they can be. As an organisation with an increasingly agile workforce, we also support different ways of working offering flexible working arrangements. Learn more here about our work to support an inclusive culture.


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