EY - Senior Consultant - FSRM - Quants

FSRM-Quants - Senior Consultant

As a Senior Consultant, you'll actively establish, maintain and strengthen internal and external relationships.

The Opportunity :

- The role is to be parts of team ; on engagements will depend on the size of the engagement.

- You'll be expected to anticipate and identify risks and escalate any issues as appropriate.

- You'll help to create a positive learning culture, coach and counsel junior team members and help them to develop.

Your client responsibilities :

- Participate in Market Risk / Credit Risk engagements - iBOR, ECL Modelling etc.

- Participate in business development initiatives

- Build strong internal relationships within Ernst & Young Advisory Services and with other services across the organization

Responsibilities, Qualifications, Certifications-Internal :

Technical skills requirements : Internal Audit & Risk Management.

- A Master's degree in Quantitative Finance, Mathematics, Economics or other relevant science disciplines

- Minimum of 5 years' experience working in a Market Risk Management role

- Strong knowledge and understanding of Market Risk and XVA, experience working with both Vanilla and Exotic products.

- Experience applying risk metrics (VaR and Stress-testing)

- Proven track record working within the Capital Markets and products.

- Experience working with FRTB/Libor/iBOR, in particular the decommission of its models/framework

- Previous background covering valuation models, with the ability to apply your knowledge to the business

- Capital management (regulatory capital, ICAAP and economic capital)

- Impairment modelling, management and forecasting

- Focus areas the existing and IFRS 9 accounting standards, asset quality (provisioning adequacy) assessment.

- Credit risk models (PD, LGD, EAD, scorecards)

- Good understanding of the Basel II and III (CRD IV requirements) credit risk regulatory framework

- RWA calculation under Basel 2 & 3 Focus areas (governance, policy, process and control)

- Stress testing and scenario analysis

- Credit risk data and systems