- Deep understanding of derivatives and empirical asset pricing theory (Black-Scholes framework, stochastic calculus, jump diffusion etc.) and independently able to validate pricing, market risk models and the underlying concepts - Deep understanding of Mathematics and statistics in terms of linear algebra, probability theory, stochastic calculus - Understanding of VaR, modelling of VaR using monte-carlo simulation, historical and parametric approach and VaR backtesting - Understanding of interest rate curve construction, modelling interest rates, calibration of interest rate models (CIR, HJM, LMM, HW etc.) - Understanding of Volatility Models (Vanna-Volga, Local Volatility models, stochastic volatility models like SABR, Heston) - Independently able to price derivative instruments of vanilla (swaps, European options, CDS) and exotic payoff structures (Bermudan swaptions, Equity linked notes, MBS etc.) using analytical, simulation, trees etc. - Understanding of counterparty risk - CVA, DVA, FVA (using analytical and simulation approach) including backtesting of CCR models (Risk factor distribution and correlation backtesting). - Understanding of quantitative methods like bootstrapping, numerical simulation, trees and their application in quantitative finance - Understanding different components of market risk and development/validation of risk models and pricing models. Must have: - Background in computational/quantitative/financial engineering - Master's/PhD in Computational Math/Financial Engineering/other quantitative disciplines - Sound knowledge of computer programming at least any two among Python, R, C++, Java - Excellent communication and time management skills - Co-ordinate with different stakeholders, across geographies Good to have: - Certifications like CQF, FRM, CFA - Ability to program in multiple languages/platforms - Machine learning techniques

Anywhere in India/Multiple Locations

EY - Consultant - Market Risk Quant 

EY - Consultant - Market Risk Quant  ,Job Description for EY - Consultant - Market Risk Quant  in Ernst and Young in  Anywhere in India/Multiple Locations for (1-3) years of experience. Apply Now!

Job Description for EY - Consultant - Market Risk Quant  in Ernst and Young in  Anywhere in India/Multiple Locations for (1-3) years of experience. Apply Now!