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RMS Manager Senior Manager Model Validation

Job Title: RMS Manager Senior Manager Model Validation
Location: London
Industry:
Reference: 35213BR
Contact Name: PwCRecruiting Team
Contact Email: donotreply@pwc.com
Job Published: June 11, 2019 18:51

Job Description

About the team

A 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 role

The 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

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