Requisition Id : 1578314

 

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:
Transformation - Business Consulting Risk – FSRM

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.

 
All about the Role:
The Candidate will be performing duties related to all aspects of Counterparty Credit risk Domain including but not limited to supporting our clients in counterparty credit risk management, CCR exposure model development, Validation and monitoring, Derivatives Pricing, Stress testing framework, RWA and capital Optimization, CtB and RtB roles and responsibilities which includes FRD, BRD, UAT testing etc, Interpretation of trading book regulatory rules for various Jurisdictions, impact assessment as well as overall traded risk management frameworks and controls.

 

We are looking for a talented Market Risk Specialist Consultant to join our dynamic team in Mumbai or Bangalore. The ideal candidate will have a robust background in Market Risk, particularly in asset classes, and a solid understanding of regulatory frameworks such as FRTB SA/IMA, Basel 2.5, and CVA. The candidate should have at least 3 years of experience in Market Risk and demonstrate expertise in risk models, methodologies, and risk management practices.

 

Key Experience and Skills required:

Counterparty Credit Risk Expertise:

Strong Business understanding of Derivatives (OTC, ETD and Cleared) and Securities Financing Transactions products Able to demonstrate SME skills on Various Credit risk exposure computation methods such as SA-CCR, CEM and IMM Strong Understanding of Credit risk metrics such as EE, EPE, PFE, etc Understanding of Valuation adjustments such as CVA, DVA, FVA etc Good understanding of Basel Norms-III and IV Understanding of various RWA Approaches per Basel norms Understanding of Credit Risk mitigation techniques- Collateral, Netting, ISDA rules etc Knowledge of Market risk concepts-VaR, ES, IRC etc Knowledge of Derivatives Pricing and Valuation Models Understanding of Collateral Modelling for Variation Margin and Initial Margin Working Knowledge of Accounting and Regulatory CVA Understanding of Monte Carlo as well as Numerical methods for derivative pricings Good understanding on the CCR exposure model validation Good to have an experience of Python for risk analytics

 

Market Risk Expertise:

Comprehensive knowledge of Market Risk, encompassing various asset classes, IMA model permissions (including VaR, SVaR, and IRC), VaR/SVaR calculation methodologies such as Historical Simulation, Monte Carlo Simulations, Pricing approaches such as Sensitivity based or Full Revaluation, and understanding of FRTB – SA/ IMA capital calculations and BA-CVA or SA-CVA.

Implementation Experience: Practical experience in Market Risk architecture, with a solid grasp of regulatory guidelines and requirements pertaining to Market Risk Regulations.

Product Knowledge: Strong foundation in Market Risk product knowledge, along with experience in related areas such as risk models, methodologies, understanding of Products such as Options, Option Pricing techniques, Greeks, Swaps/Swaptions and its pricing, Bonds and its pricing, Exotic options.

Project Management & Business Analysis: Demonstrated project management capabilities, including the ability to identify errors early in the process and effectively challenge them as necessary.

Numerical Skills and Documentation: Excellent numerical skills, with the ability to clearly articulate complex topics and proficiency in Excel and PowerPoint.

Documentation and Management: Ability to create Requirement Documents/User Stories with accurate interpretations, assessments, and thorough note-taking.

Communication and Collaboration: Strong communication and collaboration skills, facilitating effective teamwork and stakeholder engagement.

Proficiency in programming languages such as Python or R for data analysis and model development is a plus

 

 

Key responsibilities:

Implementation Facilitation: Collaborate closely with internal stakeholders to support the implementation of new regulations, showcasing strong project management skills within a Market Risk framework.

Coordination: Serve as a liaison among relevant teams, including Market Risk, QA, RIS, and Regulatory Relations, to ensure effective communication and collaboration.

Business Analysis: Document Business Requirements, Functional Requirements, and other essential artifacts to support project objectives.

Data Analysis: Analyse and interpret Risk data within the bank as needed, developing necessary use cases that are data-driven.

Support for Risk and Control Owners: Provide subject-matter expertise, recommendations, and guidance to Risk and Control Owners, ensuring that risk management activities are functioning effectively.

Conduct Walkthrough Meetings: Organize and lead walkthrough meetings with Market Risk Managers, Quantitative Analysts, and IT teams to align on requirements and expectations.

Stakeholder Relationship Management: Build and maintain strong relationships with stakeholders to support the team's objectives and enhance collaboration.

 

Qualifications:

Master’s degree in a relevant field (Finance, Risk, Economics, Mathematics, etc.) Preferred Certifications: CFA/FRM/CQF  3+ years of experience in Market Risk/ Counterparty Credit Risk Excellent communication and interpersonal skills Ability to work effectively with cross-functional teams Proven ability to thrive in a dynamic and fast-paced environment Proven track record of successful involvement with change management programs and excellent communication skills Creative approach to problem solving and ability to navigate in complex matrix environment with focus and execution

If you possess the required skills and experience, and you are ready to contribute to our team's success, we encourage you to apply. This is an exciting opportunity to be part of a forward-thinking organization in the financial industry.

 

 

Skills and attributes:

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

Strong communication, documentation, facilitation, relationship-building, presentation and negotiation skills Be highly flexible, adaptable, and creative Broad consulting and project management skills, effective written and oral communication skills Pursue passions beyond work and invest in your wellbeing

 

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 organisation, 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. Apply now.