Manager/Senior Manager - Market Risk & CCR Quant - Big4

Hiring Market Risk and CCR Quant:

Ideal preference : Immediate joiner-people serving the notice period.

- Strong with quantitative math's and fair understanding in coding (python, C++)

- Opening is with one of the Big4 firm, JD will be shared with the interested candidate.

Model Governance JD :

- Prior model development and/or validation experience with risk models including but not limited to Credit, Market, Operational, Liquidity, Interest rate risk that may include CCAR, IFRS9, recovery and resolution planning, scenario analysis/expansion.

- Balance sheet forecasting such as cash flow, revenue, expense model or FP&A models

- SR 11-7 requirements either through the development of the policy/standards/templates or the validation process itself

- End-to-end validation process including assessment of documentation against expected standards, independent replication of model, assessment of input data, model assumptions and limitations, review/assessment of developer's testing, performance of independent testing, and development of a validation report covering all of the above

- Experience executing validation work as well as overseeing the work of a team

MR Quant :

- Work in the EY FSRM service line focusing on Quantitative Modeling and Market Risk Analytics

- The candidate will primarily be working on quantitative modelling and Pricing/Market risk engagements like:

a. Validation/development of valuation models across asset classes - equities, commodities, rates, credit, mortgages

b. Development, testing and validating pricing models using C++/Python/R/client-proprietary tools

- Bachelor's/Master's degree in Mathematics/Financial Engineering/Quantitative Finance/other quantitative disciplines with strong understanding of valuation theories/concepts

- FRM/CQF/CFA certification would be a plus

- Knowledge of programming languages (Excel VBA, Python, R etc.)

- Strong quantitative background - experience in model development or validation a plus

- Basic understanding of Mathematics and statistics in terms of linear algebra, probability theory

- Basic understanding of fixed income and equity derivatives, volatility surfaces, interest rate curve construction and Greeks

- Good understanding of workings of a Bank (processes, Committees, systems etc.) and Banking products across fixed income, derivatives, retail etc.

- Understanding of VaR and different VaR modelling and backtesting techniques

- Understanding of statistical concepts/ time series modeling

- Experience in Python/C++

- Strong communication and documentation skills