Senior Consultant - Business Consulting Risk - CCR Quant- RISK - FSRM - Mumbai, Bangalore, Delhi

Requisition Id: 1725913

As a global leader in assurance, tax, transaction and advisory services, we hire and develop the 
most passionate people in their field to help build a better working world. This starts with a 
culture that believes in giving you the training, opportunities and creative freedom. At EY, we 
don't just focus on who you are now, but who you can become. We believe that it's your career 
and 'It's yours to build' which means potential here is limitless and we'll provide you with 
motivating and fulfilling experiences throughout your career to help you on the path to becoming 
your best professional self. 

The opportunity : 

- Counterparty Credit Risk Quant - Business Consulting Risk - FSRM (Open for Bangalore, 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 : 

- 1 to 7 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. 

What we offer : 

With more than 200,000 clients, 300,000 people globally and 33,000 people in India, EY has 
become the strongest brand and the most attractive employer in our field, with market-leading 
growth over compete. Our people work side-by-side with market-leading entrepreneurs, game- 
changers, disruptors and visionaries. As an organization, we are investing more time, technology 
and money, than ever before in skills and learning for our people. At EY, you will have a 
personalized Career Journey and also the chance to tap into the resources of our career 
frameworks to better know about your roles, skills and opportunities. 

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. 

If you can confidently demonstrate that you meet the criteria above, please contact us as soon as 
possible. 

Join us in building a better working world. Apply now.