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Manager-Quants-Risk consulting - FS - CNS - Risk - FSRM
5-7 years
₹ 4.2 - 19.48L/yr (AmbitionBox estimate)
Mumbai
1 vacancy
Manager-Quants-Risk consulting - FS - CNS - Risk - FSRM
Ernst & Young
posted 6hr ago
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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
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Anonymous · Marketing & Communication
in Hyderabad / Secunderabad
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.
EY India is a goddam narcissist organization.
- Skill development - Bad
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