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Engaged Employer

Ernst & Young

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3.5

based on 10.2k Reviews

2280 Ernst & Young Jobs

FS-RISK CONSULTING-FSRM-QTB-SENIOR

Ernst Young

3.5

based on 10.2k Reviews

2-10 years

Pune

1 vacancy

FS-RISK CONSULTING-FSRM-QTB-SENIOR

Ernst & Young

posted 1mon ago

Job Role Insights

Flexible timing

Key skills for the job

Data Analytics Back Office Consulting SQL Project Management Auditing

+ 4 more

Job Description

Within FSRM, the Market Risk (MR) team assists clients to design and implement strategic and functional changes across risk management, treasury, front office, middle office, and back office activities with a focus on risk and valuation processes, regulatory compliance, analytics, strategy, and organizational structure. Practical implementation knowledge of risk and capital management is a key competency of MR, focused on regulatory capital, market and counterparty credit risk management and broker-dealer capital requirements. Clients include large domestic and global financial institutions, broker-dealers, foreign banking organizations, asset management firms and insurance companies with significant capital markets activities. Project teams frequently work with the senior management of these firms, including CFOs and CROs.

Your key responsibilities

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

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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