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FS-RISK CONSULTING-FSRM- QTB-SENIOR
3-6 years
₹ 5 - 20L/yr (AmbitionBox estimate)
This is an estimate of the average salary range for this
position. It has not been reviewed by the company, and
the actual salary may differ.
Noida
1 vacancy
FS-RISK CONSULTING-FSRM- QTB-SENIOR
Ernst & Young
posted 1d ago
Job Role Insights
Flexible timing
Key skills for the job
Job Description
- Demonstrate deep technical capabilities and industry knowledge of financial products
- Lead components of large-scale client engagements and/or smaller client engagements while consistently delivering quality client services
- Understand market trends and demands in the financial services sector and issues faced by clients by staying abreast of current business and industry trends relevant to the clients business
- Monitor progress, manage risk, and effectively communicate with key stakeholders regarding status, issues and key priorities to achieve expected outcomes
- Play an active role in mentoring junior consultants within the organization
To qualify for the role, you should have
- Undergraduate (4-year degree) or Masters (Computational Finance, Mathematics, Engineering, Statistics, or Physics preferred) or Ph.D. in quantitative topics with at least 2-10 years of relevant experience.
- Working knowledge or academic experience of statistical and numerical techniques (E.g., Monte-Carlo methods, Finite difference methods)
- Knowledge of mathematical concepts and domain knowledge related to pricing derivatives for any of the asset classes such as fixed income, equities, credit, interest rates, FX, and commodities
- Strong risk management/model development/validation knowledge in market risk (VaR, Stressed VaR, Expected Shortfall, etc.) and/or counterparty credit risk (CVA, PFE, etc.).
- Good hands-on experience in model development / validation / monitoring / audit procedures (including Stress testing, Back-testing, Benchmarking, etc.).
- Knowledge of mathematical concepts like Stochastic Calculus, Differential and Integral calculus (ODE/PDE/SDE), Numerical Methods, Linear algebra, Measure Theory. Related to pricing derivatives for any of the asset classes such as fixed income, equities, credit, interest rates, FX, and commodities
- Development/Validation/Annual Review of Equity pricing models, Interest Rate Models (HW1F, HW2F, HJM, LMM), Stochastic Volatility (SABR, Heston) model, Local Volatility model (Dupire), frameworks for Volatility stripping and calibration, Bootstrapping of IR curves (Single curve, Multi curve framework), Asset Liability Management (NII, MVPE) and Prepayment Models.
- Knowledge of Estimating Idiosyncratic volatility (specific risk) and estimating Beta, Handling missing data in time series, Validating proxy time series.
- Strong coding skills in Advanced Python or Java, C++ with combination of Statistical packages in R. Basic knowledge of SQL is expected.
- Excellent communication and strong problem-solving skills
- Project management and report writing experience
Good-to-have
- Certifications such as FRM, CQF, CFA, PRM
- Regulatory knowledge/experience in areas such as Basel, CCAR, and FRTB.
- ETRM/CTRM systems experience with knowledge of end-to-end commodity trade lifecycle of power/gas/softs/metals etc.
- Pricing/Risk management system knowledge/experience - Calypso, SunGard Adaptiv, Murex, Numerix, Bloomberg, RiskMetrics, Spectrum, EQF, etc.
- Willingness to travel to meet client needs
Other responsibilities (For Manager Rank)
- Conduct performance reviews and contribute to performance feedback for Senior Consultants and Staffs
- Contribute to people initiatives including recruiting talent
- Maintain an educational program to continually develop personal skills
- Experience in stakeholder and client management
- Play your part in developing intellectual capital to support delivering superior outcomes for client and firm.
Employment Type: Full Time, Permanent
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What people at Ernst & Young are saying
Rating based on 1k Consultant
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Anonymous · Marketing & Communication
in Hyderabad / Secunderabad
Likes
Your career will be absolutely shelved if you work at EYq India. They don't care about your particular skill set or area of expertise, they just throw you in a client role where both parties would be clueless about and expect you to be the one to perform.
Dislikes
EY India is a goddam narcissist organization.
- Skill development - Bad+5 more
Consultant salary at Ernst & Young
reported by
11.9k
employees
₹5.4
L/yr - ₹19
L/yr
11%
less
than the average Consultant Salary in India
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What Ernst & Young employees are saying about work life
based on 10.3k employees
Flexible timing
Monday to Friday
No travel
Day Shift
Ernst & Young Benefits
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