Model Validation- Market Risk - Sr Manager

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, Stessed 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++

• Advise and provide clients with strategic recommendations on Financial Services Risk Management issues facing the financial services sector, focusing on the identification, measurement, and management of Traded Products Risk and Capital
• Participate in Quantitative Risk and Assurance engagements such as derivatives pricing, market risk and counterparty credit risk modelling and model validation support.
• Understanding clients unique ambitions and needs and referring them to colleagues in other teams and areas to broaden our business relationships

Go-To-Market

Drive and lead business development initiatives

Provide sales and pursuit enablement support

Lead expansion of business in various accounts and sectors by expanding and leveraging the relationships and contacts in the market

Experience in stakeholder and client management

Build and maintain long-term relationships both in the market and within the wide-ranging EY network

People responsibilities

Conduct performance reviews and contribute to performance feedback for Senior Consultants and Managers

Contribute to people initiatives including recruiting talent

Maintain an educational program to continually develop personal skills

Intellectual capital building responsibilities

• Play your part in developing intellectual capital to support delivering superior outcomes for client and firm
• Provide insights in creating thought leadership articles and white paper in the areas of upcoming market risk topics and trends.