The prospect :
- 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 :
- Strong analytical, problem solvi
📌 Senior Consultant (Mumbai)
🏢 EY
📍 Mumbai