AmbitionBox
Jobs
- Reviews
- Salaries
- Interview Questions
- About Company
- Benefits
- Jobs
- Office Photos
- Community
Add office photos
i
Ernst & Young
Compare
All Filters
2083 Ernst & Young Jobs
Senior Consultant -Quant- Risk Consulting - FSRM
5-7 years
₹ 8.5 - 33L/yr (AmbitionBox estimate)
Mumbai
1 vacancy
Senior Consultant -Quant- Risk Consulting - FSRM
Ernst & Young
posted 6hr ago
Job Role Insights
Flexible timing
Key skills for the job
Job Description
- We are looking for candidates who will be performing duties in the quant space of Counterparty
- Credit risk domain including but not limited to CCR exposure model development, Validation and monitoring, Derivatives Pricing, Back testing of IMM, Collateral simulation models development and validation, etc.
- Validation/development of valuation models across asset classes - equities, commodities, rates, credit, mortgages
- Development, testing and validating pricing models using C++/Python/R/client-proprietary tools
- Basic understanding of Mathematics and statistics in terms of linear algebra, probability theory
- Basic understanding of fixed income and equity derivatives, volatility surfaces, interest rate curve construction and Greeks
- Good understanding of workings of a Bank (processes, Committees, systems etc.) and Banking products across fixed income, derivatives, retail etc.
- Understanding of VaR and different VaR modelling and backtesting techniques
- Understanding of statistical concepts/ time series modelling
- Experience in Python/C++
- Experience in developing/validating the quantitative and mathematical models for the CCR/XVAs
- Have a good understanding of risk simulation under IMM and derivative pricing models
- Able to demonstrate SME skills on Various Credit risk exposure computation methods such as SA-CCR, CEM and IMM- Monte carlo simulation
- Strong Understanding of Credit risk metrics such as EE, EPE, PFE, etc
- Understanding of Valuation adjustments such as CVA, DVA, FVA etc
- Deep Understanding of various derivatives and exotics (Black Scholes, Stochastic calculus etc)
- Hands on experience of python in model development/validation role
- Understanding of Collateral Modelling for Variation Margin and Initial Margin
- 1 to 7 years of relevant work experience
- Masters or MBA in Quantitative finance or PG with FRM/CQF/CFA charter
- Programming skills like Python, C++, R are must have
- 5+ years of relevant work experience
- Bachelors/Masters degree in Mathematics/Financial Engineering/Quantitative Finance/other quantitative disciplines with strong understanding of valuation theories/concepts
- FRM/CQF/CFA certification would be a plus
- Knowledge of programming languages (Excel VBA, Python, R etc.)
- Strong quantitative background - experience in model development or validation a plus 5+ years of relevant work experience
- Bachelors/Masters degree in Mathematics/Financial Engineering/Quantitative Finance/other quantitative disciplines with strong understanding of valuation theories/concepts
- FRM/CQF/CFA certification would be a plus
- Knowledge of programming languages (Excel VBA, Python, R etc.)
- Strong quantitative background - experience in model development or validation a plus
Employment Type: Full Time, Permanent
Read full job descriptionErnst & Young Interview Questions & Tips
Prepare for Ernst & Young Senior Consultant roles with real interview advice
Top Ernst & Young Senior Consultant Interview Questions
What people at Ernst & Young are saying
Rating based on 1.2k Senior Consultant
reviews
Anonymous · Consulting
in Bangalore / Bengaluru
There is great opportunity for learning and exposure to the consulting world. Will get chance to interact with great leaders
- Skill development - Excellent
Work life balance is extremely bad, there is always urgency which sometimes is not necessary. Office politics always ignores the personal development of individual contributors. The organisation as a whole follows a very toxic work culture
- Promotions - Poor
Senior Consultant salary at Ernst & Young
What Ernst & Young employees are saying about work life
Ernst & Young Benefits
View more benefits
Compare Ernst & Young with
Deloitte
PwC
EY Global Delivery Services ( EY GDS)
Accenture
Cognizant
TCS
Amazon
Wipro
Capgemini
IBM
Microsoft Corporation
Infosys
KPMG India
Bain & Company
McKinsey & Company
BCG
ZS
Mercer
Willis Towers Watson
Similar Jobs for you
Ernst & Young Mumbai Office Locations
Maharashtra 400028
400021
US International Taxation
3-7 Yrs
₹ 7 - 17L/yr
Hyderabad / Secunderabad, Gurgaon / Gurugram, Bangalore / Bengaluru
Partnership Tax Senior/Assistant Manager & Manager
3-8 Yrs
Hyderabad / Secunderabad, Bangalore / Bengaluru, Delhi/Ncr
Tax Manager, US Taxation (Partnership or Corporate)
6-11 Yrs
Hyderabad / Secunderabad, Bangalore / Bengaluru, India
Senior, US State and Local Tax
3-8 Yrs
Hyderabad / Secunderabad, Bangalore / Bengaluru, Delhi/Ncr
Senior Consultant, State Tax (Partnership)
3-7 Yrs
Hyderabad / Secunderabad, Gurgaon / Gurugram, Bangalore / Bengaluru
Executive Assistant
3-5 Yrs
Kochi, Gurgaon / Gurugram, Bangalore / Bengaluru
