Senior Consultant - Counterparty Credit Risk Quant (Financial Services Risk Management)

About EY and the Role

Ernst & Young (EY) is a globally renowned professional services firm, ranking among the "Big Four" and delivering audit, tax, consulting, and advisory solutions worldwide. With a presence in over 150 countries and nearly 400,000 professionals, EY emphasizes quality, innovation, sustainability, and creating a better working world.

This opportunity is for a Senior Consultant to join the Financial Services Risk Management (FSRM) team specifically focusing on Counterparty Credit Risk Quant roles. This dynamic and fast-expanding team offers diversity in work, challenges, responsibilities, and leadership development. Available locations include Mumbai, Bangalore, Delhi NCR, Kolkata, Pune, and Chennai.

Key Responsibilities

• Design, develop, validate, and monitor quantitative models for Counterparty Credit Risk (CCR) and various XVAs.
• Apply expertise in risk simulations under the Internal Model Methodology (IMM) and derivative pricing models.
• Demonstrate Subject Matter Expert (SME) knowledge of credit risk exposure frameworks such as SA-CCR, CEM, and IMM Monte Carlo simulations.
• Understand and compute credit risk metrics including Expected Exposure (EE), Expected Positive Exposure (EPE), Potential Future Exposure (PFE), among others.
• Grasp valuation adjustments like Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA), and Funding Valuation Adjustment (FVA).
• Possess comprehensive knowledge of derivatives and exotic instruments, including Black-Scholes models and stochastic calculus.
• Develop and validate models using programming languages such as Python, with hands-on experience.
• Understand collateral modeling for both Variation Margin and Initial Margin processes.

Required Qualifications and Experience

• Master's degree or MBA in Quantitative Finance or a related postgraduate qualification with FRM, CQF, or CFA certification.
• 1 to 7 years of relevant professional experience in quantitative finance or risk management.
• Proficiency in programming languages including Python, C++, and R is mandatory.

Desired Skills and Attributes

• Excellent analytical, problem-solving, and critical thinking capabilities.
• Eagerness to learn continuously and expand both technical and business skill sets.
• Strong communication skills, including presentations and writing. Additional language skills are advantageous.
• Ability to collaborate effectively and work well within diverse teams.
• Project management experience.
• Flexibility and willingness to travel or work internationally on projects.

Additional Information

The role requires individuals who can collaborate across multiple client departments while adhering to commercial and legal frameworks. Practical problem-solving with insightful and actionable solutions is essential. The ideal candidate is agile, curious, mindful, maintains positive energy, and embraces adaptability and creativity in their approach.