Consultant - Technical Model Validation
Consultant - Technical Model Validation
We have opportunities across several levels from Senior Associate, through to Consultant and Senior Consultant The role is based around implementing mathematical models for portfolio risk, profitability, correlation, simulation, valuation, stress testing and so on.
You must have experience of practical mathematical modelling and model implementation, a First class degree in applied mathematics /engineering/physics or related discipline and post-graduate qualification (MSc or PhD). In short, if you have very strong mathematical knowledge with practical knowledge of probability theory, statistics, inverse-Fourier transforms, PDEs, characteristic functions, etc, we want to hear from you.
Ideally, you will also have thorough knowledge and real-world experience of Monte Carlo techniques and importance sampling.
Your work will be involved in the whole model implementation cycle, covering:
- model design,
- calibration and parameterisation,
- coding (robust client-side modelling) or prototyping,
- documentation (including specification)
- explaining models to clients.
Reviewing and challenging models, benchmarking, understanding and advising on best-practice. Helping clients review and implement models.
Requirements/ Essential Knowledge
- Experience of practical mathematical modelling and model implementation.
- First class degree in applied mathematics /engineering/physics or related discipline AND post-graduate qualification (MSc or PhD)
- Very strong mathematical knowledge with practical knowledge of probability theory, statistics, inverse-Fourier transforms, PDEs, characteristic functions, etc.
- Thorough knowledge and real-world experience of Monte Carlo techniques and importance sampling
- Excellent C++ for numerical applications, including STL Demonstrable evidence of 'new thinking‘ – either in academia OR banking.
- Evidenced in model implementation at a Financial Institution or through published articles.
- Good communication skills – both verbal reasoning skills (including the ability to communicate complex ideas effectively) and written skills.
- Strong LaTeX, Powerpoint, Word and Excel skills required.
- Ability to work in a team - sharing ideas and support all other team members.
- Willingness to travel if the occasional need arises.
- The ability to manage own work and time effectively
- Strong knowledge of portfolio modelling, derivative valuations, credit and market risk and capital requirements for either loan or derivative portfolios.
- In particular, a good understanding of several of the following areas: default correlation modelling, (PD/LGD/EAD) modelling, stress testing, pricing, portfolio optimisation, Economic Capital, risk allocation, multi-period risk modelling
- Working knowledge of databases and SQL, Matlab, R and VBA for Excel. Knowledge of Numerical Algorithms Group (NAG) libraries.
- Being able to contribute to high quality thought leadership around areas of specialism for written publications, training events, client seminars and conferences.
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’.
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.