Archives: Jobs

At EY, you’ll have the chance to build a career as unique as you are, with the global scale, support, inclusive culture and technology to become the best version of you. And we’re counting on your unique voice and perspective to help EY become even better, too. Join us and build an exceptional experience for yourself, and a better working world for all.

Please see job role.

The key job responsibilities will be to:

• Work on consulting projects related to financial instrument modeling, model review, securities pricing, and risk management including support for regulatory compliance.
• Develop or validate equity, FX, and hybrid based exotic pricing models with a focus on conceptual assessment and assumptions testing.
• Perform quantitative analysis focused on Profit Attribution Analysis (PAA), Stress Testing and Non- modellable Risk Factors (NMRFs) for the models being validated.
• Assess valuation methodology for fixed income instruments and derivatives on interest rates, foreign exchange, equity, and credit.
• Design, implement and critique on calibrations of parametrized valuation models such as Black Scholes, Hull & White, SABR, Heston, etc.
• Assess IPV methodology for external clients covering products across all asset classes.
• Assist client in Advisory projects around the evolving issues e.g., XVA, IBOR Transition, etc. that affect the valuation of derivatives and structured products.

Qualifications

Must Have Skills/Project Experience/Certifications:

• 1-4 years of experience with quantitative analysis technical tools such as Python, R, MATLAB, SAS, etc.
• Familiarity with valuation of fixed income instruments, derivatives on interest rates, foreign exchange, equity, and credit. Understanding of financial derivatives, stochastic calculus, and numerical techniques for derivatives pricing (Monte Carlo / Finite Difference).
• Familiarity with various quantitative measures related to Market Risk (e.g., VaR, Expected Shortfall, etc.) and Counterparty Credit Risk (e.g., Expected Exposure, Expected Potential Exposure, etc.)
• Familiarity with tools like Bloomberg, Refinitiv, Murex, etc. is a plus.
• Experience in model validation like Asset Liability Management, Economic Capital Models, etc. is a plus.
• Understanding of financial regulations (like FRTB), products or financial processes is a plus
• Ability to explain difficult financial modeling/valuation concepts to diverse audiences and to experts at various clients.
• Related bank/consulting experience is a plus.

Primary Responsibilities include, but are not limited to:

• Research, development, enhancement, and documentation of IMM Counterparty credit risk, methodologies, and tools for regulatory and risk management purposes
• Perform analysis including model recalibrations, back-tests, stress tests, scenario, and sensitivity analyses.
• Programming of prototypes/production code (within an established C++/R /Python libraries) which will be productionized.
• Program, test and implement quantitative financial methods using Python, C++, VBA, R, Matlab and SQL
• Utilize advanced statistics, econometrics and mathematical skills including probability theory, stochastic calculus, Monte Carlo simulation, numerical analysis, optimization techniques and time series analysis
• Work with Technology on model testing, implementation, and production
• Collaborate with risk managers and other stakeholders to address their requests and for relevant model enhancements
• Participate in Regulatory and validation exams by providing documentation and responses to regulators and internal validators

Skills Required

What you’ll bring to the role:

• 0-2 (Analyst), 2.5+ (Associate) and 6+ (Director) years of work experience in quantitative modeling, Risk Management, algorithmic trading
• Analytical skills and ability to work with diverse cultures in a global team.
• Strong knowledge of financial traded products e.g. derivatives and their pricing.
• Knowledge and hands-on experience in one of the programming languages R, Python, MATLAB, C# or C++ is strongly preferred.
• Excellent communication skills (Oral and written). Ability to communicate and present logically, precisely and in simple manner, complex and technical issues.

Required Qualifications

• Graduate/Under-graduate/Advance degrees in finance, mathematics, physics econometrics, engineering or other quantitative subjects.
• Candidates should have a strong theoretical foundation in mathematics, quantitative finance and derivatives.
• Candidates will have to deal in Python, SQL queries, and MS-Office on daily basis.

Desirable Skillsets

• FRM, CFA, CQF certification is an advantage.
• Quantitative modeling experience in Finance/ Data Science
• Knowledge of risk mitigation practices and experience with Basel II/III/IV rules will be considered advantageous.
• Experience in one of the following AI, ML, NLP, Big Data Analytics, Tableau is an advantage