The opportunity:

IRRBB Quant - Institutional International business - Business Consulting Risk - FSRM - Bangalore

Our FSRM team is a fast-moving, high-growth area with huge potential. It offers variety, challenge, responsibility, and the opportunity to realize your leadership potential.

Our Financial Services Risk Management (FSRM) practice focuses on risk management, regulatory, quantitative, and technology backgrounds. The breadth of experiences of FSRM professionals enables the practice to coordinate the delivery of a broad array of risk management services to capital market participants throughout the world in a well-integrated manner.

Your key responsibilities:

- Model validation and/or model development experience in Liquidity Risk or IRRBB.

- Models including BS products' volume of cash flow modelling, liquidity requirement towards derivative trades, intraday liquidity, behavioural modelling e.g. Prepayment and NMD modelling, NMP modelling, deposit modelling, embedded optionality products. Technique can be regression, ARIMA, historical analysis etc.

- Methodology familiarity of using survival/hazard models, logistic regression, ARIMA, ARIMAX, regression

- Machine learning models such as XGB, LightGBM, Random forest, Logit, experience is good to have.

- Strong understanding of risk regulatory frameworks like Basel (d368), CRD V, PRA s3115, EBA GL etc in the areas of IRRBB and Liquidity Risk.

- Awareness of functional design and database framework for risk management systems and applications.

- Knowledge of IR sensitive products in Banks (deposits, loans, secured/unsecured funding, IR derivatives) and their characteristics.

- Good knowledge of Liquidity Risk Measurement, IRRBB framework, Behavioural analysis, Basel III LCR and NSFR ratio computation, Stress Testing, Banking product knowledge and treatment of off balance sheet exposure.

- Exposure to any of these: SR 11-7, FTP, ILAAP, Hedge Accounting, BA 330, Balance Sheet Management will be preferred.

- Python or R skill is must have

- Experience across a range of risk platforms and technologies/products such as QRM, OFSAA, or SAS, FIS BSM, etc. will be an added advantage

Eligibility:

- Master's in Business Administration/ Chartered Accountant/Maths/Stats with prior experience in Liquidity Risk and Interest Rate Risk domain.

- Strong academic background.

- Industry certifications such as FRM, PRM, CFA, CQF preferred.

Skills and attributes:

In addition to technical competence, what will set you up for success at EY is your ability to:

- Strong quantitative and statistical knowledge along with programming skills.

- Exposure to working in globally distributed workforce environment including offshore mode.

- Excellent communication and interpersonal skills.

What we look for:

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:

With more than 200,000 clients, 300,000 people globally and 33,000 people in India, EY has become the strongest brand and the most attractive employer in our field, with market-leading growth over compete. Our people work side-by-side with market-leading entrepreneurs, game-changers, disruptors, and visionaries. As an organisation, we are investing more time, technology, and money, than ever before in skills and learning for our people. At EY, you will have a personalized Career Journey and the chance to tap into the resources of our career frameworks to better know about your roles, skills and opportunities.

EY is equally committed to being an inclusive employer and we strive to achieve the right balance for our people - enabling us to deliver excellent client service whilst allowing our people to build their career as well as focus on their wellbeing.