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. FSO practice provides integrated advisory services to financial institutions and other capital markets participants, including commercial banks, investment banks, broker-dealers, asset managers (traditional and alternative), insurance and energy trading companies, and the Corporate Treasury functions of leading Fortune 500 Companies. The service offerings provided by the FSO Advisory include: market, credit and operational risk management, regulatory advisory, quantitative advisory, structured finance transaction, actuarial advisory, technology enablement, risk and security, program advisory, and process & controls.
Within EY’s 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.
In the wake of regulatory reforms, banks are focusing on assessing their assets portfolios for credit risks. As part of Credit Analytics team, you will support banks / financial service institutions in internal risk management and comply with various regulatory laws. For example they help ensure banks have robust, forward-looking capital planning processes that account for their unique risks and sufficient capital to continue operations through times of economic and financial stress. They verify whether the banks have maintained fairness and not discriminated against the minorities in the lending process.
IFRS 9 Financial Instruments issued in 2014 is the IASB's replacement of IAS 39 Financial Instruments: Recognition and Measurement. The Standard includes requirements for recognition and measurement, impairment, derecognition and general hedge accounting. The banking industry is moving towards IFRS9 as a forward-looking model for measuring credit losses. The mandatory adoption date in January 2018 has forced financial institutions to plan for the implementation of IFRS 9.
· PhD in quantitative field (Statistics, Econometrics)
· Master's degree in quantitative fields (Stats, Econometrics) with Bachelor degree in Engineering, Mathematics, Statistics, Econometrics from premier institutions
· 1 year of relevant experience is preferable for candidates with master’s degree
· 85%+ marks in 10th and 12th
· Advanced technical skills and programming knowledge(MSOffice ,SAS, R, VBA, C++) required
· Strong facilitation, presentation and problem solving skills (ability to “find it” and “fix it”)
· Desire to develop and integrate quantitative skills within a required scope of designing and implementing business services
· Understanding of credit risk quantification methodologies (credit rating, IRB models etc.) is preferred, including knowledge of capital calculation methodologies under Basel II / III
· Strong written and verbal communication skills Experienced level:
· All the above plus
· Ability to develop IFRS9 models and resolve complex issues in credit risk modelling. Active participant in the development of credit risk models (PD/EAD/LGD) for retail and wholesale portfolios for various clients
· Lead components of large scale client engagements and/or smaller client engagements while consistently delivering quality client services
· Develop / validate risk measurement models for credit risk management, incl. models for credit rating, retail scorecards, financial modeling, RWA calculations, credit risk calculations is preferred
· Capacity to think about requirements from a strategic perspective, ability to perform requirement gathering and gap analysis versus the current methodologies to leverage independently
· Understand market trends by staying abreast of current business and industry trends relevant to the client’s business and hence be able to provide high quality consultancy services to our clients
· Develop, validate, and monitor models, manage risk, and effectively communicate with key stakeholders regarding status, issues and key priorities
· Ability to handle a small team, review procedures, train folks on the job, and be able to mentor and coach the junior folks in the team
· Experience working on the following topics are added advantage like lifetime modelling approach, transfer criteria, impact analysis, staging etc.
· Contributes to communication and training efforts to promote understanding of credit risk models to juniors in the team with minimum of 3 years of experience