Model Validation- Market Risk

At EY, you'll have the chance to build a career as unique as you are, with the global scale, support, inclusive culture and technology to become the best version of you. And we're counting on your unique voice and perspective to help EY become even better, too. Join us and build an exceptional experience for yourself, and a better working world for all. 

Business Consulting QAS – Quantitative Trading Book (QTB)

Role: Senior Manager

Description

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.

Within FSRM, the Market Risk (MR) team assists clients to design and implement strategic and functional changes across risk management, treasury, front office, middle office, and back office activities with a focus on risk and valuation processes, regulatory compliance, analytics, strategy, and organizational structure. Practical implementation knowledge of risk and capital management is a key competency of MR, focused on regulatory capital, market and counterparty credit risk management and broker-dealer capital requirements. Clients include large domestic and global financial institutions, broker-dealers, foreign banking organizations, asset management firms and insurance companies with significant capital markets activities. Project teams frequently work with the senior management of these firms, including CFOs and CROs

Your key responsibilities

Engagement Leadership
Demonstrate deep technical capability and industry knowledge of financial productsBe the technical lead and subject matter expert in the following areas:
Model Risk Management /model development/validation knowledge in market risk (VaR, Stressed VaR, Expected Shortfall, etc.) and/or counterparty credit risk (CVA, PFE, etc.).Working knowledge of statistical and numerical techniques (E.g., Monte-Carlo methods, Finite difference methods)Equity pricing models, Interest Rate Models (HW1F, HW2F, HJM, LMM), Stochastic Volatility (SABR, Heston) model, Local Volatility model (Dupire), frameworks for Volatility stripping and calibration, Bootstrapping of IR curves (Single curve, Multi curve framework), Asset Liability Management (NII, MVPE) and Prepayment ModelsKnowledge of mathematical concepts like Stochastic Calculus, Differential and Integral calculus (ODE/PDE/SDE), Numerical Methods, Linear algebra, Measure Theory.Pricing derivatives for any of the asset classes such as fixed income, equities, credit, interest rates, FX, and commodities.Programming languages like Python/R/C++Advise and provide clients with strategic recommendations on Financial Services Risk Management issues facing the financial services sector, focusing on the identification, measurement, and management of Traded Products Risk and CapitalParticipate in Quantitative Risk and Assurance engagements such as derivatives pricing, market risk and counterparty credit risk modelling and model validation support.Understanding clients' unique ambitions and needs and referring them to colleagues in other teams and areas to broaden our business relationshipsGo-To-Market
Drive and lead business development initiativesProvide sales and pursuit enablement supportLead expansion of business in various accounts and sectors by expanding and leveraging the relationships and contacts in the marketExperience in stakeholder and client managementBuild and maintain long-term relationships both in the market and within the wide-ranging EY networkPeople responsibilities
Conduct performance reviews and contribute to performance feedback for Senior Consultants and ManagersContribute to people initiatives including recruiting talentMaintain an educational program to continually develop personal skillsIntellectual capital building responsibilities
Play your part in developing intellectual capital to support delivering superior outcomes for client and firmProvide insights in creating thought leadership articles and white paper in the areas of upcoming market risk topics and trends.

To qualify for the role, you should have

Undergraduate (4-year degree) or Masters (Computational Finance, Mathematics, Engineering, Statistics, or Physics preferred) or Ph.D. in quantitative topics with at least 11+ years of relevant industry experience and track record.Professional Qualification e.g., CQF / CFA / FRM / PRM would be preferredSignificant experience in application and justification of statistical and numerical techniques and principles of the theory of probability.Good understanding of Derivative Pricing, Market risk measurement and CVA methodologies used for the trading, risk management and ideally calculation of regulatory capital requirements.Modelling background, including experience in model development and model validationExcellent communication, strong problem solving and solution development skillsProject management and report writing experienceAbility to drive business development and contribute to the growth of the EY solutionsWillingness to travel to meet client needsA self-starter, can-do attitude with energy and willingness to try new things

Everything you'll do will come back to providing exceptional services to our clients. Colleagues and clients will look to you to lead components of the project, drive high quality results while coaching & motivating staff and managing client expectations. You will build your knowledge and experience, become a trusted advisor, and take your career to new heights.

What working at EY offers

We offer a competitive compensation package where you'll be rewarded based on your performance and recognized for the value you bring to our business. Plus, we offer:

A collaborative environment where everyone works together to create a better working worldExcellent training and development prospects, both through established programs and on-the-job trainingAn excellent team of senior colleagues, dedicated to managing and varying your workload

EY | Building a better working world 

EY exists to build a better working world, helping to create long-term value for clients, people and society and build trust in the capital markets.

Enabled by data and technology, diverse EY teams in over 150 countries provide trust through assurance and help clients grow, transform and operate.

Working across assurance, consulting, law, strategy, tax and transactions, EY teams ask better questions to find new answers for the complex issues facing our world today.  

---