Model Validation: Market Risk - Senior Manager

Business Consulting QAS Quantitative Trading Book (QTB)

Role: Senior Manager (10-16years)

Description

EY's Financial Services Office (FSO) is a unique, industry-focused business unit that provides a broad range of integrated services that leverage deep industry experience with strong functional capability and product knowledge.

Within EYs FSO Advisory Practice, the Financial Services Risk Management (FSRM) group provides solutions that can help FSO clients to identify, measure, manage and monitor the market (trading book), credit (banking book), operational, and regulatory risks associated with their trading, asset-liability management, capital management and other capital markets activities.

Within FSRM, the Market Risk (MR) team assists clients to design and implement strategic and functional changes across risk management, treasury, front office, middle office, and back office activities with a focus on risk and valuation processes, regulatory compliance, analytics, strategy, and organizational structure.

Consulting experience is Mandatory.

• Engagement Leadership

• Demonstrate deep technical capability and industry knowledge of financial products
• Be the technical lead and subject matter expert in the following areas:
• Model Risk Management /model development/validation knowledge in market risk (VaR, Stressed VaR, Expected Shortfall, etc.) and/or counterparty credit risk (CVA, PFE, etc.).
• Working knowledge of statistical and numerical techniques (E.g., Monte-Carlo methods, Finite difference methods)
• Equity pricing models, Interest Rate Models (HW1F, HW2F, HJM, LMM), Stochastic Volatility (SABR, Heston) model, Local Volatility model (Dupire), frameworks for Volatility stripping and calibration, Bootstrapping of IR curves (Single curve, Multi curve framework), Asset Liability Management (NII, MVPE) and Prepayment Models
• Knowledge of mathematical concepts like Stochastic Calculus, Differential and Integral calculus (ODE/PDE/SDE), Numerical Methods, Linear algebra, Measure Theory.
• Pricing derivatives for any of the asset classes such as fixed income, equities, credit, interest rates, FX, and commodities.
• Programming languages like Python/R/C++

To qualify for the role, you should have

• Undergraduate (4-year degree) or Masters (Computational Finance, Mathematics, Engineering, Statistics, or Physics preferred) or Ph.D. in quantitative topics with at least 11+ years of relevant industry experience and track record.
• Professional Qualification e.g., CQF / CFA / FRM / PRM would be preferred
• Significant experience in application and justification of statistical and numerical techniques and principles of the theory of probability.
• Good understanding of Derivative Pricing, Market risk measurement and CVA methodologies used for the trading, risk management and ideally calculation of regulatory capital requirements.
• Modelling background, including experience in model development and model validation
• Excellent communication, strong problem solving and solution development skills
• Project management and report writing experience

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