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Market Risk and Valuation Consultant - Financial Services

Location:  Diegem
Other locations:  Primary Location Only
Salary: Competitive
Date:  30 Jan 2024

Job description

Requisition ID:  1404882

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. This starts with a culture that believes in giving you the training, opportunities and creative freedom to make things better. So that, whenever you join, however long you stay, the exceptional EY experience lasts a lifetime.

 

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: 
-    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 as well the review of Model Governance Frameworks, how institutions identity, monitor, measure and mitigate Model Risk, in particular for Pricing Models and Market Risk Capital Models. 
 
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 quantitative modelling. Our team of quantitative advisors consists of around 20 highly skilled professionals with background in Physics, Mathematics and (Commercial) Engineering, where academic excellence is a given. While being part of our Belgian Risk team, you will have the  opportunity to work with, and learn from colleagues in other departments, also on international level. 
 
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:


•    You participate 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:

  • Develop and apply EY tools & models 
  • Participate to model development and model validation exercises
  • Identify new areas for further development of EY tools & models
  • Assess the impact of climate risk and ESG considerations in general on market risk and (derivative) valuation model

•    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 degree in Physics, Mathematics, Statistics, Computer Science or 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.
•    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) 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 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.
 

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