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Senior Consultant - Transformation - Risk Consulting - FSRM
3-7 years
Mumbai
1 vacancy
Senior Consultant - Transformation - Risk Consulting - FSRM
Ernst & Young
posted 6hr ago
Job Role Insights
Flexible timing
Key skills for the job
Job Description
The Candidate will be performing duties related to all aspects of Counterparty Credit risk Domain including but not limited to supporting our clients in counterparty credit risk management, CCR exposure model development, Validation and monitoring, Derivatives Pricing, Stress testing framework, RWA and capital Optimization, CtB and RtB roles and responsibilities which includes FRD, BRD, UAT testing etc, Interpretation of trading book regulatory rules for various Jurisdictions, impact assessment as well as overall traded risk management frameworks and controls.
We are looking for a talented Market Risk Specialist Consultant to join our dynamic team in Mumbai or Bangalore. The ideal candidate will have a robust background in Market Risk, particularly in asset classes, and a solid understanding of regulatory frameworks such as FRTB SA/IMA, Basel 2.5, and CVA. The candidate should have at least 3 years of experience in Market Risk and demonstrate expertise in risk models, methodologies, and risk management practices.
Key Experience and Skills required
Counterparty Credit Risk Expertise
- Strong Business understanding of Derivatives (OTC, ETD and Cleared) and Securities Financing Transactions products
- Able to demonstrate SME skills on Various Credit risk exposure computation methods such as SA-CCR, CEM and IMM
- Strong Understanding of Credit risk metrics such as EE, EPE, PFE, etc
- Understanding of Valuation adjustments such as CVA, DVA, FVA etc
- Good understanding of Basel Norms-III and IV
- Understanding of various RWA Approaches per Basel norms
- Understanding of Credit Risk mitigation techniques- Collateral, Netting, ISDA rules etc
- Knowledge of Market risk concepts-VaR, ES, IRC etc
- Knowledge of Derivatives Pricing and Valuation Models
- Understanding of Collateral Modelling for Variation Margin and Initial Margin
- Working Knowledge of Accounting and Regulatory CVA
- Understanding of Monte Carlo as well as Numerical methods for derivative pricings
- Good understanding on the CCR exposure model validation
- Good to have an experience of Python for risk analytics
Market Risk Expertise
Comprehensive knowledge of Market Risk, encompassing various asset classes, IMA model permissions (including VaR, SVaR, and IRC), VaR/SVaR calculation methodologies such as Historical Simulation, Monte Carlo Simulations, Pricing approaches such as Sensitivity based or Full Revaluation, and understanding of FRTB - SA/ IMA capital calculations and BA-CVA or SA-CVA.
Implementation Experience Practical experience in Market Risk architecture, with a solid grasp of regulatory guidelines and requirements pertaining to Market Risk Regulations.
Product Knowledge Strong foundation in Market Risk product knowledge, along with experience in related areas such as risk models, methodologies, understanding of Products such as Options, Option Pricing techniques, Greeks, Swaps/Swaptions and its pricing, Bonds and its pricing, Exotic options.
Project Management & Business Analysis Demonstrated project management capabilities, including the ability to identify errors early in the process and effectively challenge them as necessary.
Numerical Skills and Documentation Excellent numerical skills, with the ability to clearly articulate complex topics and proficiency in Excel and PowerPoint.
Documentation and Management Ability to create Requirement Documents/User Stories with accurate interpretations, assessments, and thorough note-taking.
Communication and Collaboration Strong communication and collaboration skills, facilitating effective teamwork and stakeholder engagement.
Proficiency in programming languages such as Python or R for data analysis and model development is a plus
Key responsibilities
Implementation Facilitation Collaborate closely with internal stakeholders to support the implementation of new regulations, showcasing strong project management skills within a Market Risk framework.
Coordination Serve as a liaison among relevant teams, including Market Risk, QA, RIS, and Regulatory Relations, to ensure effective communication and collaboration.
Business Analysis Document Business Requirements, Functional Requirements, and other essential artifacts to support project objectives.
Data Analysis Analyse and interpret Risk data within the bank as needed, developing necessary use cases that are data-driven.
Support for Risk and Control Owners Provide subject-matter expertise, recommendations, and guidance to Risk and Control Owners, ensuring that risk management activities are functioning effectively.
Conduct Walkthrough Meetings Organize and lead walkthrough meetings with Market Risk Managers, Quantitative Analysts, and IT teams to align on requirements and expectations.
Stakeholder Relationship Management Build and maintain strong relationships with stakeholders to support the teams objectives and enhance collaboration.
Qualifications
- Master s degree in a relevant field (Finance, Risk, Economics, Mathematics, etc.)
- Preferred Certifications CFA/FRM/CQF
- 3+ years of experience in Market Risk/ Counterparty Credit Risk
- Excellent communication and interpersonal skills
- Ability to work effectively with cross-functional teams
- Proven ability to thrive in a dynamic and fast-paced environment
- Proven track record of successful involvement with change management programs and excellent communication skills
- Creative approach to problem solving and ability to navigate in complex matrix environment with focus and execution
If you possess the required skills and experience, and you are ready to contribute to our teams success, we encourage you to apply. This is an exciting opportunity to be part of a forward-thinking organization in the financial industry.
Skills and attributes
In addition to technical competence, what will set you up for success at EY is your ability to
- Strong communication, documentation, facilitation, relationship-building, presentation and negotiation skills
- Be highly flexible, adaptable, and creative
- Broad consulting and project management skills, effective written and oral communication skills
- Pursue passions beyond work and invest in your wellbeing
People with the ability to work in a collaborative manner to provide services across multiple client departments while following the commercial and legal requirements. You will need a practical approach to solving issues and complex problems with the ability to deliver insightful and practical solutions. We look for people who are agile, curious, mindful and able to sustain positive energy, while being adaptable and creative in their approach.
What we offer
EY is equally committed to being an inclusive employer and we strive to achieve the right balance for our people - enabling us to deliver excellent client service whilst allowing our people to build their career as well as focus on their wellbeing. Apply now.
Employment Type: Full Time, Permanent
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Senior Transformation Consultant salary at Ernst & Young
reported by
1
employee
with 8
years exp.
₹13.5
L/yr - ₹17.2
L/yr
9%
less
than the average Senior Transformation Consultant Salary in India
View more details
What Ernst & Young employees are saying about work life
based on 10.5k employees
Flexible timing
Monday to Friday
No travel
Day Shift
Ernst & Young Benefits
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