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
To qualify for the role, you should have :
Undergraduate (4-year degree) or Masters (Computational Finance, Mathematics, Engineering, Statistics, or Physics preferred) or Ph.
D. in quantitative topics with at least 2 years of relevant experience.
Working knowledge or academic experience of statistical and numerical techniques (E.g., Monte-Carlo methods, Finite difference methods)
Knowledge of mathematical concepts and domain knowledge related to pricing derivatives for any of the asset classes such as fixed income, equities, credit, interest rates, FX, and commodities
Strong risk management / model development / validation knowledge in market risk (VaR, Stressed VaR, Expected Shortfall, etc.
and / or counterparty credit risk (CVA, PFE, etc.).
Good hands-on experience in model development / validation / monitoring / audit procedures (including Stress testing, Back-testing, Benchmarking, etc.).
Knowledge of mathematical concepts like Stochastic Calculus, Differential and Integral calculus (ODE / PDE / SDE), Numerical Methods, Linear algebra, Measure Theory.
Related to pricing derivatives for any of the asset classes such as fixed income, equities, credit, interest rates, FX, and commodities
Development / Validation / Annual Review of Equity pricing models, Interest Rate Models (HW1F, HW2F, HJM, LMM), Stochastic Volatility (SABR, Heston) model, Local Volatility model (Dupire), frameworks for Volatility stripping and calibration, Bootstrapping of IR curves (Single curve, Multi curve framework), Asset Liability Management (NII, MVPE) and Prepayment Models.
Knowledge of Estimating Idiosyncratic volatility (specific risk) and estimating Beta, Handling missing data in time series, Validating proxy time series.
Strong coding skills in any programming languages like Python and R. Basic knowledge of SQL is expected.
Excellent communication and strong problem-solving skills
Project management and report writing experience
Certifications such as FRM, CQF, CFA, PRM
Regulatory knowledge / experience in areas such as Basel, CCAR, and FRTB.
ETRM / CTRM systems experience with knowledge of end-to-end commodity trade lifecycle of power / gas / softs / metals etc.
Pricing / Risk management system knowledge / experience Calypso, SunGard Adaptiv, Murex, Numerix, Bloomberg, RiskMetrics, Spectrum, EQF, etc.
Willingness to travel to meet client needs
What working at EY offers
We offer a competitive compensation package where you’ll be rewarded based on your performance and recognized for the value you bring to our business. Plus, we offer :
A collaborative environment where everyone works together to create a better working world
Excellent training and development prospects, both through established programs and on-the-job training
An excellent team of senior colleagues, dedicated to managing and varying your workload