Model Validation Senior Manager - RMS - Risk Assurance

19 Jul 2019
18 Aug 2019
Contract Type
Full Time

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About the teamA career in our Model Risk and Validation practice, within Risk Modelling Services, will provide you with the opportunity to help our clients develop a strategic and sustainable approach to harness the value of their data and drive business results. We work with organisations across industries to develop customised, cost effective technology solutions that focus on delivering the relevant, actionable intelligence that executives need to understand operations and manage critical risks.

About the roleThe role will involve working with our existing team of approximately 60 banking model specialists to build on our current portfolio of projects in model validation and investment bank modelling and increase our capacity and offering in the area of derivative valuation models. This will include:

  • Derivative modelling – independent implementation of models for both vanilla and exotic derivatives

  • Front Office model testing and documentation

  • Support to Model Validation teams; carrying out full range of validation activities including assessment of conceptual soundness, challenging underlying assumptions, theory, data and limitations of the models being validated.

  • Advice on industry practice on xVA, Prudent Valuation and Risk Models

  • Remediating findings from Model Validation/Internal Audit/Regulator

  • Ongoing model performance monitoring

  • Helping banks to “industrialize” model validation; developing tools, templates etc

  • Helping banks to optimize RWA, through strategic choices and hedging

  • Interaction with stakeholders including risk managers, quants, traders, model validation, internal audit, Regulators

  • Maintaining an up-to-date view of regulatory and industry developments in relation to model risk management and derivatives valuation, sharing this with the wider team and maintaining leading edge best practice in work performed.

  • Essential skills and experience:
  • Recent industry experience covering model validation, or model development, for derivatives valuation or risk models.
  • Sound knowledge of fundamental derivative and loan pricing/valuation methodologies.
  • Deep knowledge of valuation methodologies for at least one of the following; Interest Rate derivatives, Equity derivatives, Foreign Exchange (FX) derivatives or xVA.
  • Strong general knowledge of either counterparty credit or market risk.
  • 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.
  • Ability to develop good client/internal client handling skills, including relationship-building skills that lead to increased consulting opportunities.
  • 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:
  • First class degree (or equivalent) in technical subject plus further qualification (such as MSc,
  • PhD or professional qualification in relevant subject/area, e.g, mathematical finance or technical research involving maths or numerical programming).
  • External profile: an existing reputation in the market through a combination of consulting track record, conference appearances, technical professional networks and published work.
  • Experience communicating with regulators.
  • Knowledge of at least one of the following (or similar): C++, C#, R, Python

  • 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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    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.

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