Model Development/Validation Role - Market Risk - Big 4

The opportunity:

Counterparty Credit Risk Quant - Business Consulting Risk - FSRM - Bangalore (Open for Delhi NCR, Mumbai, Kolkata, Pune, Chennai)

Our FSRM team is a fast-moving, high-growth area with huge potential. It offers variety, challenge, responsibility and the opportunity to realize your leadership potential.

Our Financial Services Risk Management (FSRM) practice focuses on risk management, regulatory, quantitative, and technology backgrounds. The breadth of experiences of FSRM professionals enables the practice to coordinate the delivery of a broad array of risk management services to capital market participants throughout the world in a well-integrated manner.

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.

Your key responsibilities:

- 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

To qualify for the role, you must have:

- 8+ years of relevant work experience

- Master's or MBA in Quantitative finance or PG with FRM/CQF/CFA charter

- Programming skills like Python, C++, R are must have

Skills and attributes:

In addition to technical competence, what will set you up for success at EY is your ability to:

- Strong analytical, problem solving and critical thinking skills

- Willingness to learn and continuously expand technical and business skills

- Strong communication, presentation and writing skills in Knowledge of additional languages will be considered an asset

- Excellent interpersonal skills and ability to work effectively within a team.

- Project management skills

- Willingness and ability to travel and work abroad for international projects

What we look for:

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.