About this role
<p>Requisition Id: 1725913</p> <p>As a global leader in assurance, tax, transaction and advisory services, we hire and develop the <br>most passionate people in their field to help build a better working world. This starts with a <br>culture that believes in giving you the training, opportunities and creative freedom. At EY, we <br>don't just focus on who you are now, but who you can become. We believe that it's your career <br>and 'It's yours to build' which means potential here is limitless and we'll provide you with <br>motivating and fulfilling experiences throughout your career to help you on the path to becoming <br>your best professional self. </p> <p>The opportunity : </p> <p>- Counterparty Credit Risk Quant - Business Consulting Risk - FSRM (Open for Bangalore, Delhi <br>NCR, Mumbai, Kolkata, Pune, Chennai) </p> <p>- Our FSRM team is a fast-moving, high-growth area with huge potential. It offers variety, <br>challenge, responsibility and the opportunity to realize your leadership potential. </p> <p>- Our Financial Services Risk Management (FSRM) practice focuses on risk management, <br>regulatory, quantitative, and technology backgrounds. The breadth of experiences of FSRM <br>professionals enables the practice to coordinate the delivery of a broad array of risk management <br>services to capital market participants throughout the world in a well-integrated manner. </p> <p>- We are looking for candidates who will be performing duties in the quant space of Counterparty <br>Credit risk domain including but not limited to CCR exposure model development, Validation and <br>monitoring, Derivatives Pricing, Back testing of IMM, Collateral simulation models development <br>and validation, etc. </p> <p>Your key responsibilities : </p> <p>- Experience in developing/validating the quantitative and mathematical models for the <br>CCR/XVAs </p> <p>- Have a good understanding of risk simulation under IMM and derivative pricing models </p> <p>- Able to demonstrate SME skills on Various Credit risk exposure computation methods such as <br>SA-CCR, CEM and IMM- Monte carlo simulation </p> <p>- Strong Understanding of Credit risk metrics such as EE, EPE, PFE, etc </p> <p>- Understanding of Valuation adjustments such as CVA, DVA, FVA etc </p> <p>- Deep Understanding of various derivatives and exotics (Black Scholes, Stochastic calculus etc) </p> <p>- Hands on experience of python in model development/validation role </p> <p>- Understanding of Collateral Modelling for Variation Margin and Initial Margin </p> <p>To qualify for the role, you must have : </p> <p>- 1 to 7 years of relevant work experience </p> <p>- Master's or MBA in Quantitative finance or PG with FRM/CQF/CFA charter </p> <p>- Programming skills like Python, C++, R are must have </p> <p>Skills and attributes : </p> <p>In addition to technical competence, what will set you up for success at EY is your ability to: </p> <p>- Strong analytical, problem solving and critical thinking skills </p> <p>- Willingness to learn and continuously expand technical and business skills </p> <p>- Strong communication, presentation and writing skills in Knowledge of additional languages will <br>be considered an asset </p> <p>- Excellent interpersonal skills and ability to work effectively within a team. </p> <p>- Project management skills </p> <p>- Willingness and ability to travel and work abroad for international projects </p> <p>What we look for : </p> <p>People with the ability to work in a collaborative manner to provide services across multiple client <br>departments while following the commercial and legal requirements. You will need a practical <br>approach to solving issues and complex problems with the ability to deliver insightful and <br>practical solutions. We look for people who are agile, curious, mindful and able to sustain positive <br>energy, while being adaptable and creative in their approach. </p> <p>What we offer : </p> <p>With more than 200,000 clients, 300,000 people globally and 33,000 people in India, EY has <br>become the strongest brand and the most attractive employer in our field, with market-leading <br>growth over compete. Our people work side-by-side with market-leading entrepreneurs, game- <br>changers, disruptors and visionaries. As an organization, we are investing more time, technology <br>and money, than ever before in skills and learning for our people. At EY, you will have a <br>personalized Career Journey and also the chance to tap into the resources of our career <br>frameworks to better know about your roles, skills and opportunities. </p> <p>EY is equally committed to being an inclusive employer and we strive to achieve the right <br>balance for our people - enabling us to deliver excellent client service whilst allowing our people <br>to build their career as well as focus on their wellbeing. </p> <p>If you can confidently demonstrate that you meet the criteria above, please contact us as soon as <br>possible. </p> <p>Join us in building a better working world. Apply now. </p>