Requisition Id: 1722280
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 : Assistant Manager-National-Assurance-ASU - FAAS - Financial&AccountingAdv - New Delhi
- Skillset: Credit value adjustment (CVA), Debit value adjustment (DVA), and potential future exposure (PFE), derivative pricing, exposure measurement (EAD, EE/EPE, PFE) and regulatory frameworks such as Standardised approach for counterparty credit risk (SA-CCR). Strong understanding of Basel III regulations, counterparty credit risk frameworks, sensitivity analysis, and capital impact assessment. Specifically, focus on expertise covering:
- XVA analytics: Experience with CVA, Exposure at Default (EAD), Expected Exposure (EE/EPE) and Potential Future Exposure (PFE) computations using Monte Carlo simulation across asset classes, and SA-CCR methodologies. CVA/DVA computation, sensitivities, and impact assessment under different market scenarios.
- Derivative pricing models: Strong understanding of derivative products including interest rate, FX, and option contracts. Calculation of Interest rate, FX, and equity derivatives pricing using stochastic models (e.g., Hull-White, Black-Scholes, LMM).
- Model validation: Independent validation covering model assumptions, calibration techniques, benchmarking, and stress testing.
- Counterparty credit risk (CCR): Knowledge of counterparty credit risk concepts, exposure measurement, and valuation adjustments. Experience in exposure profiling, netting and collateral modelling.
- Regulatory frameworks: Experience interpreting regulatory requirements and translating them into risk and valuation calculations. SA-CCR exposure calculations (EAD, RC, PFE components), and linkage with capital frameworks such as PCA.
- Risk sensitivities & stress testing: Ability to perform exposure analysis, sensitivity testing, risk impact assessments, scenario analysis, wrong-way risk, and sensitivity attribution.
- Software: Proficient in Excel and working knowledge of Python/SQL for risk analytics and data analysis.
- Skill: Strong analytical and problem-solving skills with the ability to communicate complex risk concepts to stakeholders.
- Qualifications – Preferred
- FRM qualified
- MSC in Statistics
- Master's in quantitative finance / financial engineering
- Experience - Around 2-5 years.
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
Fuelled by the brilliance of our people, EY has emerged as the strongest brand and the most attractive employer in our field, with market-leading growth over competitors. 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 while allowing our people to build their careers 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.
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