Director, Portfolio Modelling - Risk & Prudential
- Consulting - Risk & Regulation
- FS Risk & Regulation
We are seeking a Director to assist with the ongoing development, sale and delivery of highly sophisticated technical risk solutions to our banking clients, in relation to the market context mentioned above, as part of our Portfolio Management and Modelling proposition. The aim of the proposition will be to provide banking clients with a full analytical and decision making capability to transform their performance in the new environment, encompassing:
- Model design and build
- Data and information infrastructure, governance and control
The world of Risk and Regulation is changing, join us on the journey and be part of creating a new and relevant financial services industry.
Our Financial Services Risk and Regulation (FSRR) team is made up of 60 partners and 900 professional staff and our number and capabilities are expanding every day.
Within FSRR The banking sector Risk Advisory teams advise leading banking groups on a wide variety of risk, value and capital management issues. These include: advice on portfolio risk strategy, performance measurement, portfolio shaping, risk-related regulation (such as Basel III); advice and implementation support in risk functional design and build (encompassing organisation, governance, process and infrastructure); and risk modelling and measurement in a wide variety of contexts including instrument risk aggregation and allocation, profitability analysis, model design and validation, risk appetite and limit setting, capital allocation, portfolio optimisation, and business strategy and planning.
Responsibilities of the role include:
- Advising clients on all theoretical and practical portfolio modelling issues and modelling best-practice / Explaining the advantages and disadvantages of various modelling approaches
- Heading teams of quantitative analysts to design, build, calibrate and test models with or for our clients
- Ensuring the highest standards of model implementation and testing
- Assisting with strategic portfolio and regulatory portfolio modelling and management projects
- Managing the full life cycle of a portfolio of client engagements
- Providing modelling advice where needed to support client teams
- Active participation in the leadership of the Banking (Retail and Capital Markets) and Risk practice areas
- Development (including recruitment and coaching) of more junior team members
- Contribution to thought leadership and marketing initiatives
- Collaboration with other relevant practice areas in Consulting and other lines of service (e.g. Assurance, Deals, Tax)
The following skills are required for this role:
Desirable skills/ attributes:
- Recent industry experience – either via a direct role or secondment.
- Sound knowledge of fundamental derivative and loan pricing and valuation
- Excellent knowledge of portfolio modelling (including best practice correlation modelling), valuation/MTM, risk aggregation and risk allocation
- Good knowledge of assessing deal profitability in the context of a portfolio
- A good understanding of the role of risk management in helping an organisation achieves its business goals.
- Knowledge of portfolio shaping /optimisation (from a risk and regulatory perspective)
- Knowledge of both credit and market risk
- Proven ability to come up with new innovative solutions
- Significant programming knowledge and understanding of C++
- Understanding of model infrastructure requirements.
- Outstanding implementation experience covering theory, implementation, calibration, testing, delivery and support
- Experience leading at least one regulatory modelling project
- Deep knowledge and direct experience of at least two of the following: stress testing, back-testing, Basel III, IMM submission, CVA/DVA, Fundamental Review of the Trading Book.
- Published research
- First class degree (or equivalent) plus MSc or PhD in highly quantitative (applied mathematical) discipline and advanced degree
- 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.
- Exceptional project and financial management skills with a track record of delivering complex programmes to budget and within time-scales.
- Strong commitment to both personal and team success.
- Openness and willingness to share ideas and knowledge
- 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
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’.
The 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.
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. www.pwc.com/uk/diversity
As an organisation with an increasingly agile workforce, we're open to flexible working arrangements where appropriate.