EY Senior Consultant - Transformation Risk 

India, Maharashtra, Mumbai 

467905932

Requisition Id : 1578314

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.

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

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.

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.

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

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.

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

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

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 :

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