Manager in Market Risk

Địa Điểm Làm Việc: Hà Nội
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Mô Tả Công Việc

Risk Consulting is a business solution provided by our Performance Improvement Advisory Services Business Unit. We help clients meet the increasing demands of regulators, shareholders and other stakeholders to ensure robust and reliable approaches to governance, risk management and compliance with regulations. We provide a full suite of governance, risk management and compliance services covering the assessment, design and implementation of governance, risk management, compliance and internal control frameworks, performing board effectiveness assessments, risk assessments, development of risk appetite, tolerances and early warning systems to internal audit department evaluations and set-up and outsource internal audits.

We are currently seeking applications for our Consulting Department in Hanoi offices with the details of the vacancy below:

Key Responsibilities:
• Develop models for products valuation and market risk measures including VaR modelling, e.g. risk-factor modelling, historical simulation;
• Risk not in VaR (RNIV) framework - implementing/ removing through improvements to VaR model;
• Fundamental review of trading book (FRTB) - planning and implementation;
• Conduct validation of model performance, back-testing and stress testing
• Generate, analyse and standardise market risk. Perform market risk advise to senior management, regulators and other key stakeholders
• Analyse trading product, including the review / estimation of risk parameters, product pricing, product structure and regulatory requirements;
• Develop and review Basel II market risk related documentation, policies and procedures;
• Implement Basel II models, manage the scoring and capital computation engines and analytics datamart, conduct UAT and support overall deployment of models
• Conduct training and research and development of new models, methodologies and model applications;
• Interaction with stakeholders including traders, model validation, internal audit and regulators;
• Make the most effective use of VaR models.
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Yêu Cầu Công Việc

- Excel VBA is must (hands on experience)
- Good understanding on Market Risk (Circular 41, 13)
- Good understanding on Counterparty Credit Risk (Circular 41, 13)
- Good knowledge on Derivative valuation
- Good hold on English
- Someone from quantitative finance domain is preferred

Địa Điểm Làm Việc

16th Floor, Keangnam Ha Noi Landmark 72, Pham Hung Street
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PwC helps organisations and individuals create the value they’re looking for. We’re a network of firms in 157 countries with more than 208,000 people who are committed to delivering quality in assurance, tax and advisory services.
PwC Vietnam has been commercially present in Vietnam since 1994, with two offices in Ho Chi Minh City and Hanoi. We also have a foreign law company in Vietnam, licensed by the Ministry of Justice, so we can provide a large variety of comprehensive services to clients, including Assurance services, Deals, Restructuring, Performance Improvement Consulting, Corporate Finance, Risk Management, Tax, Legal services and other professional services.
Our team of nearly 800 local and expatriate staff has a thorough understanding of the business environment in Vietnam and a wide knowledge of policies and procedures covering investment, tax, legal, accounting and consulting matters throughout Vietnam. PwC Vietnam is the leading firm in auditing and consulting for joint stock companies, private companies, financial institutions, state-owned enterprises, etc. Our tax consulting services are highly valued for strategic investors and leading foreign companies in Vietnam.
Our services
• Assurance services
• Advisory services
• Legal services
• Tax services

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HCMC Office: 8th Fl., Saigon Tower, 29 Le Duan, District 1, Ho Chi Minh City
1.000-4.999 nhân viên
Recruitment Team


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