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06/02 Karishma Sharma
Recruiter at HR

Views:763 Applications:134 Rec. Actions:Recruiter Actions:50

EY - Liquidity Risk Quant Role (2-10 yrs)

Any Location Job Code: 1371586

As a global leader in assurance, tax, transaction, and advisory services, we hire and develop the most passionate people in their field to help build a better working world. This starts with a culture that believes in giving you the training, opportunities, and creative freedom. At EY, we don't just focus on who you are now, but who you can become. We believe that it's your career and 'It's yours to build' which means potential here is limitless and we'll provide you with motivating and fulfilling experiences throughout your career to help you on the path to becoming your best professional self.

The opportunity:

- Treasury Model Development/Model Validation - Business Consulting Risk - FSRM

- 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.

- We are looking for candidates who will advise/support Banks and Financial Services Institutions on Liquidity and IRRBB related concepts like cash flow, liquidity risk, intraday liquidity, behavioral modelling, Prepayment and NMD modelling etc.

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, behavioral modelling e.g. Prepayment and NMD modelling, NMP modelling, deposit modelling, embedded optionality products. Technique can be regression, ARIMA, historical analysis etc.

- 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, Behavioral analysis, Basel III LCR and NSFR ratio computation, Stress Testing, Banking product knowledge and treatment of off balance sheet exposure.

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

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

To qualify for the role, you must have:

- 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 organization, 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 also 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.

If you can confidently demonstrate that you meet the criteria above, please contact us as soon as possible.

Women-friendly workplace:

Maternity and Paternity Benefits

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