FS-RC-FSRM - QTB-MANAGER
Ernst Young · Pune · onsite · Posted 44d ago
Undisclosed3–8 yrsfulltimeSourced from
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About this role
Job Summary
This role offers the opportunity to work within EY's Financial Services Risk Management (FSRM) group, supporting leading global financial institutions in identifying, measuring, and managing risk including trading book market risk & counterparty credit risk, banking book credit risk, operational risk, and regulatory requirements. As part of the Quantitative Trading Book (QTB) team within FSRM, you will contribute to strategic and functional transformation across risk, treasury, and front to back-office functions. You will apply quantitative skills to enhance risk and valuation processes, support regulatory compliance, and develop analytics that drive better decision making for clients with capital markets activities.
This is an opportunity for quant professionals looking to work on models, regulatory initiatives, and high impact capital markets engagements across global banks, broker dealers, asset managers, and insurance institutions.
Your key responsibilities - Demonstrate deep technical capabilities and industry knowledge of financial products
- Lead components of large-scale client engagements and/or smaller client engagements while consistently delivering quality client services
- Understand market trends and demands in the financial services sector and issues faced by clients by staying abreast of current business and industry trends relevant to the client's business
- Monitor progress, manage risk, and effectively communicate with key stakeholders regarding status, issues and key priorities to achieve expected outcomes
- Play an active role in mentoring junior consultants within the organization.
- Conduct performance reviews and contribute to performance feedback for Senior Consultants and Staffs
- Contribute to people initiatives including recruiting talent for the team
- Stakeholder and client management
- Play your part in developing intellectual capital to support delivering superior outcomes for client and firm.
- Experience in model development, validation, monitoring, and audit procedures (stress testing, back testing, benchmarking) of trading book models (Market risk/Counterparty credit risk/ front office pricing models).
- Strong understanding of statistical and numerical techniques (e.g., Monte Carlo, finite difference methods)
- Knowledge of derivative pricing concepts across asset classes (rates, equities, credit, FX, commodities)
- Solid grounding in mathematical foundations including stochastic calculus, differential and integral calculus, probability, linear algebra.
- Understanding of optimization techniques (e.g., gradientbased methods) relevant to calibration, risk analytics, and numerical model implementation.
- Strong coding skills in advanced Python / C++ and basic SQL
- Awareness of emerging AI/ML methodologies and their use in risk management, model validation, and quantitative workflow automation.
- Basic AI knowledge, excellent communication, analytical thinking, and problem solving skills
- Exposure to market risk and counterparty credit risk methodologies (VaR, ES, SVaR, CVA, PFE) and time series techniques (e.g. GARCH).
- Hands on experience with pricing model development/validation (e.g., HW1F/2F, HJM, LMM, SABR, Heston, Dupire), volatility calibration, curve bootstrapping
- Experience with risk/pricing systems such as Murex, Calypso, Numerix, Bloomberg, RiskMetrics, etc.
- Advanced knowledge in AI is good to have.
- Undergraduate or graduate degree in quantitative disciplines (Comp. Finance, Mathematics, Engineering, Statistics, Physics) or PhD in quantitative topics
- Regulatory knowledge in FRTB Basel, CCAR.
- Professional certifications (CQF, FRM, PRM are a plus)
- Ability to work in a fast-paced environment and support engagements with global financial institutions
- Willingness to travel based on client needs.
Sourced from naukri
Skills
Business ConsultingAutomationCounterparty Credit RiskCalculusdata privacycalypsoamazon web servicesaudit proceduresCCARAnalyticsBankingCapital MarketsEquitiesAlgebracredit riskBloombergEquityAccountingcompliancefinanceArtificial Intelligence
About Ernst & Young
Ernst Young
Management Consulting
44k+
employees
2002
24 years old
Gurgaon / Gurugram, Haryana
India
₹15.3L PA avg
Avg at Ernst & Young
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