Senior Manager - Business Consulting Risk - IRRBB Quant - FSRM - Mumbai, Delhi, Bangalore

REQ ID - 1744968

The opportunity : Senior Manager-FS-Business Consulting Risk- IRRBB Quant - Mumbai, Delhi, Bangalore

FS :

Finance fuels our lives. Banking, Insurance and Wealth management, create the foundations for growth, prosperity and peace of mind. No other Industry touches so many people or shapes so many lives. 

Amid sweeping regulatory change, today’s financial services institutions are focusing on digital transformation, convergence and disruption from an array of nontraditional competitors — all while meeting greater demands for trust and transparency.

To address this delicate balance of issues, our competent team of business strategists, technologists and industry leaders bring fresh thinking and sector knowledge across banking and capital markets, insurance, and wealth and asset management. The results are seamless collaboration, innovative problem solving, breakthrough performance gains and sustainable value creation.

We recruit, train and nurture a diverse set of people who dedicate their minds to building the future of financial services. Together, we explore new perspectives with innovative and entrepreneurial thinking to deliver exceptional client service and ensure that what we do today, counts for tomorrow.

CNS - RISK - FSRM :

EY Consulting is building a better working world by transforming businesses through the power of people, technology and innovation. Our client-centric approach focuses on driving long-term value for our clients by solving their most strategic problems. EY Consulting is made up of three sub-service lines: Business Consulting (including Performance Improvement and Risk Consulting), Technology Consulting and People Advisory Services. 

We help our clients in identifying and managing the interplay between upside and downside risk in order to make the long-term decisions to prevent risk and impact on their organization's ability to meet its future business strategy and objectives. The 3 key fields of play are :

Enterprise Risk - helps clients identify and address key risk areas, while building the agility to respond quickly. The areas of focus include Enterprise risk and resilience, Internal audit, Compliance and Internal controls

Technology Risk - helps clients to achieve sustainable growth by supporting their efforts to protect their business performance and by providing trusted communications on internal control and regulatory compliance to investors, management, regulators, customers and other stakeholders. EY teams accomplish this by assessing the technology risks that are introduced to businesses.

Financial Services Risk - helps clients in the financial sector to identify, manage and monitor the risks in their business. It is done through a transformative and agile approach including process and procedures, risk, data modeling and analytics, reporting to stakeholders and third parties, business requirements (for software selection and IT implementation), analysis of assets and liabilities, and capital and liquidity management.

Your key responsibilities

Principal Duties And Responsibilities:

• Advise/support Banks and Financial Services Institutions on Liquidity and IRRBB related concepts like cash flow, liquidity risk, intraday liquidity, behavioural modelling, Prepayment and NMD modelling, stress testing,  etc.

Qualification :

• 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.

Experience :    

• 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, behavioural modelling e.g. Prepayment and NMD modelling, NMP modelling, deposit modelling, embedded optionality products. Technique can be regression, ARIMA, historical analysis etc.
• Methodology familiarity of using survival/hazard models, logistic regression, ARIMA, ARIMAX, regression
• Machine learning models such as XGB, LightGBM, Random forest, Logit, experience is good to have.
• 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, Behavioural analysis, Basel III LCR and NSFR ratio computation, Stress Testing, Banking product knowledge and treatment of off balance sheet exposure.
• Exposure to any of these: SR 11-7, FTP, ILAAP, Hedge Accounting, BA 330, Balance Sheet Management will be preferred.
• Python or R skill is must have
• Experience across a range of risk platforms and technologies/products such as QRM, OFSAA, or SAS, FIS BSM, etc. will be an added advantage.

Good to have - Key Competencies and Skills :

• 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

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.

Join us in shaping the future with confidence. Apply Now