Manager/ Senior Associate - Market Risk - Risk Consulting - FS - Hong Kong

PricewaterhouseCoopers Limited
Hong Kong, Hong Kong
Jul 31, 2021
Aug 13, 2021
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
Line of Service

Not Applicable


Management Level

Job Description & Summary
A career within General Consulting services, will provide you with the opportunity to help clients seize essential advantages by working alongside business leaders to solve their toughest problems and capture their greatest opportunities. We work with some of the world's largest and most complex companies to understand their unique business issues and opportunities in an ever changing environment. We help create sustainable change by stimulating innovation, unlocking data possibilities, navigating risk and regulatory complexity, optimising deals, and aligning costs with business strategy to create a competitive advantage.

To really stand out and make us fit for the future in a constantly changing world, each and every one of us at PwC needs to be an authentic and inclusive leader, at all grades/levels and in all lines of service. To help us achieve this we have the PwC Professional; our global leadership development framework. It gives us a single set of expectations across our lines, geographies and career paths, and provides transparency on the skills we need as individuals to be successful and progress in our careers, now and in the future.

As a Manager/ Senior Associate, you'll work as part of a team of problem solvers, helping to solve complex business issues from strategy to execution. PwC Professional skills and responsibilities for this management level include but are not limited to:

Market Risk Management
  • Developing market risk management strategies and framework, including but not limited Market Risk Appetite and Market Risk Capital and Limit Framework. Experience in Basel II.5 IMA implementation or Fundamental Review of Trading Book (FRTB) is highly preferred
  • Developing polices, processes and organization structures that supports effective market risk management
  • Conducting model validation on market risk models and valuation models for financial instruments. Knowledge in exotic or structured derivatives valuation and VaR/ ES models is preferred
  • Implementation of common market risk / Treasury management systems (e.g. Murex, RiskManager, Kondor+ or Numerix) and relevant implementation/ operation experience is preferred
  • Experience in regulations implementation and system enhancement project is preferred.
  • Proficient in data operation and financial modelling tools: SQL, R or Excel VBA

Valuation and Treasury Risk Management
  • Developing and validating valuation models with advanced mathematical program/ coding for various financial products including but not limited to plain vanilla derivatives and structured or exotic derivatives (e.g. Accreting Bermudan swaption, CMS Swap, Range Accrual Note, etc.)
  • Developing and reviewing valuation policies and procedure such as valuation adjustment (ie. XVA, CVA, FVA etc.), independent pricing validation (IPV), bid offer reserve and fair value hierarchy etc.
  • Providing valuation and quantitative support to both internal and external stakeholders. Knowledge in different financial pricing models (e.g. Stochastic Volatility Model, Local Volatility Model, Black model, Hull white model) is essential.
  • Experience of economic or statistical projection techniques (e.g. time series, Logistic regression is preferred.
  • Understanding common practices and regulatory requirement on various treasury and balance sheet management function is preferred. For example, Counterparty credit risk (CCR), Interest rate risk in banking book (IRRBB), Liquidity risk, Asset and liability management (ALM) and Fund transfer pricing (FTP) etc.
  • Developing model risk governance framework and review the model risk controls and procedure

You will also:
  • Use feedback and reflection to develop self-awareness, personal strengths and address development areas.
  • Delegate to others to provide stretch opportunities and coach to help deliver results.
  • Develop new ideas and propose innovative solutions to problems.
  • Use a broad range of tools and techniques to extract insights from current trends in business area.
  • Review your work and that of others for quality, accuracy and relevance.
  • Share relevant thought leadership.
  • Use straightforward communication, in a structured way, when influencing others.
  • Able to read situations and modify behavior to build quality, diverse relationships.
  • Uphold the firm's code of ethics and business conduct.

Required qualification and skills
  • Bachelor degree or above in Finance or quantitative discipline, preferably major in Financial Engineering, Quantitative Finance, Mathematics, Statistics or Risk Management. Advanced postgraduate degrees is an advanatge.
  • Knowledge of
    • Exotic or structured derivatives valuation and VaR / ES models;
    • Financial risk management concept including market risk, counterparty credit risk, interest rate and liquidity risk, credit risk
  • Strong technical skills with high level of coding inclination and proficiency in Excel VBA, Python, Matlab, C#, R or SQL
  • Qualify member of CFA, FRM, CQF, QRM is preferred
  • Strong verbal and written communication skills
  • Excellent independent research skills and high degree of drive; and ability to multi-tasking with good attention to detail and judgement on prioritisation

Preferred qualification and skills
  • 3-5 years of experience in quantitative research or risk management capacity
  • Knowledge of
    • Common market risk / treasury management systems (e.g. Murex, RiskManager, Kondor+, Bloomberg or Numerix) and relevant hands-on implementation / operation experience;
    • Different financial products (fixed income, equity and other complex financial instruments)
  • Experience in
    • Market risk, counterparty credit risk or/and other financial risk management
    • Basel II.5, Basel III FRTB or related regulations implementation and treasury/ risk system enhancement project
    • Valuation, product control, ALM or/and other treasury finance function

Education (if blank, degree and/or field of study not specified)
Degrees/Field of Study required:

Degrees/Field of Study preferred:

Certifications (if blank, certifications not specified)

Desired Languages (If blank, desired languages not specified)

Travel Requirements
Not Specified

Available for Work Visa Sponsorship?

Government Clearance Required?

Job Posting End Date

Similar jobs

Similar jobs

  • You need to sign in to save