EY is the only major professional services firm with a dedicated financial services practice (EY FSO) integrated in the EMEIA region. An international team of over 16,000 professionals is working across borders for our clients in the financial sector: Banking, Insurance, Payment Institutions, and Wealth & Asset Management, in all service lines: Consulting, Tax, Transactions, and Assurance. As we consider our people as the heart of EY, we hire and develop the most passionate people in their field to build a better working world.
The Opportunity
We have an opportunity for an agile, market-savvy professional with solid knowledge of market risk modelling and (derivative) valuation, to join the team as experienced Senior Consultant or Manager, depending on the level of experience.
Typical topics covered by the team in the context of market risk are:
1. Capital Requirements Related (CRR):
o Regulatory topics: Fundamental Review Of The Trading Book (FRTB), Interest Rate Risk in the Banking Book (IRRBB), and underlying models like pre-payment models.
o Stress-Testing: Analysis and definition of stress-scenarios related to Market Risk Factors taking into account their statistical properties.
2. Derivatives Valuations: Vanilla / complex derivatives (Multi-Asset / Path-Dependent / Skew Sensitive), credit and funding valuation adjustments, illiquid bond pricing. Also, prudent valuation is an important topic that is covered by the team.
Aside from these purely technical areas, the team covers the review of Model Governance Frameworks, how institutions identify, monitor, measure, and mitigate Model Risk, particularly for Pricing Models and Market Risk Capital Models.
Key Responsibilities
We are looking for a skilled quantitative professional, who may combine working on Belgian and European financial institutions. The ability to drive work forward to a conclusion, to find pragmatic solutions to complex problems, and to explain and document them convincingly, are key factors in order to be successful in this role. Typical projects you will be involved in include:
* Participating in engagements in the Risk practice, in the quantitative space, both from an advisory and an assurance perspective.
* In the context of market risk and (derivative) valuation models typical tasks are:
o Develop and apply EY tools & models.
o Participate in model development and model validation exercises.
o Identify new areas for further development of EY tools & models.
o Assess the impact of climate risk and ESG considerations in general on market risk and (derivative) valuation model.
* Coordinating the workload in various projects, and developing productive working relationships with internal and external clients.
* Preparing concise, complete, and convincing reports on the work done, and presenting it to more senior colleagues and clients.
* Acting as a team member, coaching and supervising junior staff, seeking guidance from senior colleagues as needed, and keeping everybody informed on the progress of the assignment.
Skills and Attributes for Success
* Master's degree in Physics, Mathematics, Statistics, Computer Science, or a relevant quantitative field.
* Between 2-5 years of relevant professional experience.
* Solid understanding of quantitative modeling techniques and practical experience with valuation of complex instruments (e.g., derivatives, illiquid bonds) and/or market risk (e.g., FRTB, IRRBB, VAR models) is mandatory.
* Experience with building (risk) reports and communication around (mathematical) complex issues at management level is a major plus.
* Knowledge of some key vendor packages and frequently used programming languages (R, Matlab, C++, Python) in the risk and/or valuation domain is mandatory.
* Proficient level of business English and good communication skills; knowledge of Dutch and/or French is a major asset.
* Team spirit, but self-sufficient and autonomous.
* Pragmatic approach, with the ability to self-motivate and inspire the members of a team.
* Eagerness to learn more about the Financial Services market in Belgium and Europe.
What working at EY Offers
* You will be part of a leading global professional services firm.
* You will be part of the EY family where everyone is willing to offer support and senior management is very accessible.
* You will join a dynamic and growing team with a great mix of young and experienced professionals focusing on financial services.
* You will get extensive training on technical matters, as well as soft skills and project management, and you will have access to new technologies and innovative equipment.
* We are proud of our flexible working arrangements, and we will support you to build a successful career and deliver excellent client service, without sacrificing your personal priorities.
* While our client-facing profession might require part-time working at client site and business traveling at times, we are committed to helping you achieve a lifestyle balance.
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