IN-Senior Associate_ Treasury _FST - Captives_Advisory_Mumbai

Job Description & Summary:  

PwC India is seeking highly skilled Treasury and Liquidity Risk Model Validation Specialist to join our team. 

Responsibilities: 

Model Validation: 

· Independently validate Treasury and Liquidity Risk Models, including liquidity coverage ratio (LCR), net stable funding ratio (NSFR), funding models, and interest rate risk models. 

· Review and assess the conceptual soundness, assumptions, mathematical frameworks, and input data used in models. 

· Develop and implement testing and benchmarking processes to challenge and validate the models. 

· Conduct sensitivity analysis, backtesting, and stress testing to ensure the models perform under various market conditions. 

· Produce detailed validation reports with findings, recommendations, and remediation actions. 

Documentation & Compliance: 

· Ensure model documentation complies with internal governance policies and regulatory standards (e.g., Basel III, IRRBB, CCAR, PRA). 

· Maintain thorough records of validation processes, assumptions, and results for both internal and regulatory reviews. 

Risk Management Collaboration: 

· Work closely with the Treasury, Liquidity Risk, and Market Risk teams to understand the models' role in risk management and the broader strategic impact. 

· Provide support during internal and external audits related to model governance and validation. 

Continuous Improvement: 

· Stay informed on the latest regulatory developments, market trends, and validation techniques in Treasury and Liquidity Risk Management. 

· Assist in refining the model risk management framework to improve the effectiveness of model validation processes. 

Education: 

· A Master’s degree or higher in a quantitative discipline such as Financial Engineering, Mathematics, Statistics, Economics, or a related field. 

· Certifications such as CFA, FRM, or PRM are a plus. 

Experience: 

· 3+ years of experience in model validation or model development within Treasury, Liquidity Risk, or Market Risk. 

· Strong understanding of Treasury and Liquidity Risk models, including LCR, NSFR, interest rate risk, and liquidity gap analysis. 

· Experience with model development, validation, or governance frameworks in a financial institution, preferably within a multinational investment bank. 

Technical Skills: 

· Proficiency in programming languages used for model validation, such as Python, R, or MATLAB. 

· Advanced knowledge of Excel, including VBA. 

· Familiarity with regulatory requirements related to Treasury and Liquidity Risk (e.g., Basel III, IRRBB, PRA, ECB). 

Analytical and Problem-Solving Skills: 

· Strong quantitative and analytical skills with a deep understanding of financial modeling techniques. 

· Ability to critically assess model performance and suggest improvements. 

Communication: 

· Excellent written and verbal communication skills, with the ability to present complex findings clearly to non-technical stakeholders. 

· Strong documentation skills with attention to detail 

Mandatory skill sets: 

model validation or model development within Treasury, Liquidity Risk, or Market Risk. 

Preferred skill sets: 

Proficiency in programming languages used for model validation, such as Python, R, or MATLAB 

Years of experience required: 

3+ Years 

Education qualification: 

Master Degree