Senior Consultant Quantitative & Financial Risk - Financial Services

Job description

At EY, we’re all in to shape your future with confidence. We’ll help you succeed in a globally connected powerhouse of diverse teams and take your career wherever you want it to go. Join EY and help to build a better working world. The Opportunity We have an opportunity for agile, market-savvy professionals in quantitative & financial risk and modelling. The focus of our team is on credit risk modelling, banking credit risk regulation, market risk modelling and (derivative) valuation, and derivatives instruments. We look to strengthen our team with Senior Consultants with a solid knowledge in one or more of these fields. The Belgian Risk practice acts as a center of excellence within the EMEIA region with respect to quantitative modelling. Among others, this means we have a robust and broad expertise in the practical aspects of credit modelling. Together with our equally eminent colleagues of the Data & Analytics team, we also work on Machine Learning applied to credit risk as well as climate risk modelling for financial institutions as part of our sustainable finance workgroup. On top of this continuous learning from local and international experts, we have developed an internal credit risk modelling program and an internal derivative valuation program. Both programs consist of a mix of face-to-face trainings, web-based learning and on-the-job training. In Market Risk, we work on topics such as: Capital Requirements Related (CRR) : Regulatory topics: Fundamental Review of The Trading Book (FRTB), Interest Rate Risk in the Banking Book (IRRBB) and underling models like pre-payment models Market Risk Modelling: Value at Risk Models, Expected Shortfall, Extreme Value Theory, Risk Factor Analysis Stress-Testing: Analysis and definition of stress-scenarios related to Market Risk Factors taking into account their statistical properties 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. The team also supports IFRS13 projects when it comes to the definition of Fair Value Levelling / Assessment of Observability of Input Parameters. Aside of these purely technical areas, the team covers the review of Model Governance Frameworks as well, how institutions identify, monitor, measure and mitigate Model Risk, in particular 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: Participate in, and lead Risk engagements, with the focus credit risk modeling, including the link with accounting (e.g. IFRS 9) You participate in engagements in the Risk practice, in the quantitative space, both from an advisory and an assurance perspective Support banks in preparing for regulatory reviews, or help them mitigate model weaknesses Assist banks in any stage of the model life cycle (developing new models, backtesting, independent validation of credit models, …) In the context of market risk and (derivative) valuation models typical tasks are: Develop and apply EY tools & models Participate to model development and model validation exercises Identify new areas for further development of EY tools & models, including the innovative application of machine learning in this application domain Assess the impact of climate risk and ESG considerations in general on market risk and (derivative) valuation model Explore and exploit the potential of alternative data and machine learning techniques to help financial institutions bring their credit modelling to the next level Investigate the impact of climate risk and ESG aspects in general on credit risk Contribute to the standardization and automation of the model development and model validation process Understand our full range of service offerings and actively identify and develop new opportunities to address emerging client needs You coordinate the workload in various projects, and develop productive working relationships with internal and external clients You prepare concise, complete and convincing reports on the work done, and present it to more senior colleagues and clients You act 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, Engineering 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. derivative, illiquid bonds) and/or market risk (e.g. FRTB, IRRBB, VAR models) is mandatory Deep understanding of quantitative modeling techniques, with practical experience in credit risk (IRB, IFRS9) and practical experience with derivative pricing in one or more asset classes (FX, rates, equity, …) Experience with building (risk) reports and experience with communication around (mathematical) complex issues at management level is a major plus Knowledge of some key vendor packages, and some frequently used programming languages (R, Matlab, C++, Python, SAS) in the risk and/or valuation domain is mandatory Strong interest in or some initial experience with machine learning algorithms 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 trainings 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. At EY, we’ll develop you with future-focused skills and equip you with world-class experiences. We’ll empower you in a flexible environment, and fuel you and your extraordinary talents in a diverse and inclusive culture of globally connected teams. Learn more . Are you ready to shape your future with confidence? Apply today. To help create an equitable and inclusive experience during the recruitment process, please inform us as soon as possible about any disability-related adjustments or accommodations you may need. EY | Building a better working world EY is building a better working world by creating new value for clients, people, society and the planet, while building trust in capital markets. Enabled by data, AI and advanced technology, EY teams help clients shape the future with confidence and develop answers for the most pressing issues of today and tomorrow. EY teams work across a full spectrum of services in assurance, consulting, tax, strategy and transactions. Fueled by sector insights, a globally connected, multi-disciplinary network and diverse ecosystem partners, EY teams can provide services in more than 150 countries and territories.