& 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