Senior Consultant - Counterparty Credit Risk Quant - Business Consulting Risk - FSRM

About the Role

The Financial Services Risk Management (FSRM) team at ERNST YOUNG LLP is a rapidly evolving and high-growth division that offers diverse challenges, responsibility, and opportunities to develop leadership skills. This role is focused on the Counterparty Credit Risk (CCR) quantitative domain within Business Consulting Risk, and is available across major locations including Mumbai, Bangalore, Delhi NCR, Kolkata, Pune, and Chennai.

Our FSRM practice comprises experts in risk management, regulatory, quantitative and technology backgrounds that collectively deliver comprehensive risk management solutions to participants in the capital markets worldwide.

Primary Responsibilities

• Developing and validating quantitative and mathematical models for CCR and valuation adjustments (XVAs).
• Demonstrating expertise in risk simulation processes under the Internal Model Method (IMM) and derivative pricing models.
• Specializing in credit risk exposure measurement techniques such as SA-CCR, CEM, and IMM through Monte Carlo simulation.
• Deep understanding of key credit risk metrics including Expected Exposure (EE), Expected Positive Exposure (EPE), and Potential Future Exposure (PFE).
• Knowledge of valuation adjustments including Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA), and Funding Valuation Adjustment (FVA).
• Expertise in the valuation and modeling of derivatives and exotic instruments, including using Black-Scholes and stochastic calculus frameworks.
• Hands-on experience using Python for model development and validation.
• Understanding of collateral modeling encompassing both variation margin and initial margin requirements.

Eligibility Requirements

• A graduate degree in any discipline is required, with preference for Master's or MBA qualifications in Quantitative Finance.
• Relevant certifications such as FRM, CQF, or CFA charter holders are preferred.
• Between 1 to 7 years of professional experience in related fields.
• Proficiency in programming languages including Python, C++, and R is mandatory.

Skills and Personal Attributes

• Strong analytical and critical thinking capabilities to solve complex problems effectively.
• Commitment to continuous learning and enhancement of both technical and business competencies.
• Excellent communication, presentation, and writing skills; additional language skills are a plus.
• Ability to work collaboratively within a team environment and build strong interpersonal relationships.
• Project management expertise.
• Preparedness to travel internationally and handle assignments abroad as required.

Additional Information

We seek candidates who are collaborative, practical, and capable of navigating complex issues while adhering to commercial and legal standards. Successful candidates are agile, curious, mindful, and resilient, with creativity and adaptability in their approach.