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Derivative Valuation Centre Manager - EY RDS - Mauritius

Location:  Ebene
Other locations:  Primary Location Only
Salary: Competitive
Date:  Jul 1, 2024

Job description

Requisition ID:  1455544

Business Consulting 


What if we didn’t focus on who you are now, but who you could become?


Here at EY, you’ll have the chance to build a truly exceptional experience. We’ll empower you with the latest  technology, surround you with high-performing teams, and provide the global scale and diverse and inclusive culture you need to discover your full potential. Through our coaching and training programs, you’ll develop  the skillsets you need to stay relevant today and, in the future, – all while building a network of colleagues,  mentors, and leaders who will be on the journey with you at EY and beyond. 


The Exceptional EY Experience. It's Yours To Build.


The opportunity: your next adventure awaits


You will experience professional development through diverse experiences, world-class learning and 
individually tailored coaching. That’s how we develop outstanding leaders who team to deliver on our  promises to all of our stakeholders, and in so doing, play a critical role in building a better working world for our people, for our clients and for our communities. 


What We Look For 


EY Africa’s Financial Services (FS) Risk Team has grown to over 160 individuals based in 5 locations -  Johannesburg, Cape Town, Lagos, Nairobi and more recently Mauritius. The team of actuarial, quants and  financial services risk specialist forms an integral part of EY’s EMEIA FS Risk offering, where we collaborate extensively with our colleagues across the region to take tailored solutions and services to our clients. 


EY South Africa’s Derivative Valuation Centre (DVC) team currently consists of over 20 individuals split between Cape Town and Johannesburg covering specialist areas such as: 

  • Financial derivative valuation: 

o    Bulk valuation of vanilla financial instruments 

o    Valuation of complex derivative portfolios  

o    Identification and valuation of embedded derivatives in structured deals 
o    Scoping, design and implementation of valuation policies 

o    Review of interest rate term structure models 

o    Assessing hedge effectiveness 

o    Measurement and reporting of risk sensitivities 

  • Employee share option pricing: 

o    Development of valuation models for employee share options 

o    Fair valuation of employee share schemes 

o    Identification and pricing of embedded options in transactions 


We’re currently looking for applicants, who have a passion for financial markets and experience in treasury,  market risk and/or derivative valuation, to join our DVC team and play a leading role in our high performing  FS Risk practice. It’s a rapidly growing area supported by an increased focus on risk and transformation across

the industry. This makes it a great time to join a high-profile team where you’ll be surrounded by some of the top banking professionals in Africa. 


To qualify for the role, you must have 


  • At least 3 years’ experience in treasury, market risk and/or derivative valuation. 
  • At least a BCom or BSc in Actuarial Science, Financial Engineering, Mathematics, Statistics, 

Engineering or similar. 

  • An agile, growth-oriented mindset. What you know matters. But the right mindset is just as important

in determining success. We’re looking for people who are innovative, can work in an agile way and  keep pace with a rapidly changing world. 

  • A curious and purpose driven attitude. We’re looking for people who see opportunities instead of 

challenges, who ask better questions to seek better answers that build a better working world. 

  • An inclusive approach. We’re looking for people who seek out and embrace diverse perspectives, who

value differences, and team inclusively to build safety and trust. 


What’s In It For You 

  • Accelerate your technical capabilities and transformative leadership skills with future-focused courses

and development programs. 

  • Broaden your horizons by working on highly integrated teams across the globe and collaborate with 

people of diverse backgrounds — both professionally and culturally. 

  • Bring out the best in yourself with continuous investment in your personal well-being and career 


  • Develop your own personal purpose and help us create a positive ripple effect on our teams, our 

business, clients and society – building a better working world, together. 

  • Study leaves for AIA/FIA or any other Professional Qualification approved by EY. 
  • Fully funded EY approved professional courses (EY education loan scheme conditions apply). 


What You Can Expect


  • Submit your CV and fully up-to-date academic transcripts when applying. 
  • Only shortlisted candidates can expect to be invited for an in person or video interview with one of

             our dynamic Recruiters. 


What Working At EY Offers


We offer a competitive remuneration package where you’ll be rewarded for your individual and team  performance. Our comprehensive Total Rewards package includes support for flexible working and career development. Plus, we offer: 


  • Support, coaching and feedback from some of the most engaging colleagues around
  • Opportunities to develop new skills and progress your career 
  • The freedom and flexibility to handle your role in a way that’s right for you 


EY is committed to be an inclusive employer and we are happy to consider flexible working arrangements. We strive to achieve the right balance for our people, enabling us to deliver excellent client service whilst allowing you to build your career without sacrificing your personal priorities. While our client-facing professionals can 

be required to travel regularly, and at times be based at client sites, our flexible working arrangements can  help you to achieve a lifestyle balance. 


About EY


As a global leader in Assurance, Consulting, Strategy and Transactions, Tax, we hire and develop the most  passionate people in their field to help 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. And with a commitment to hiring and  developing the most passionate people, we’ll make our ambition to be the best employer a reality. 


Apply today



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