Market Risk Quantitative Analyst - Senior Associate

Market Risk Senior Associate, Johannesburg or Cape Town, South Africa 

The opportunity 

We are looking to expand our Quantitative Advisory Services (QAS) team by recruiting suitably qualified and experienced individuals. QAS focusses on providing credit risk, market risk and data science solutions to banking, insurance and other corporate clients. Our services cover statutory, regulatory and other quantitative areas from both a consulting and an assurance perspective.

Your key technical responsibilities  

The successful applicant will work within a team which offers our clients advice and hands on assistance with issues such as:
-    IFRS 13 fair value measurement focussing on the valuation of exotic derivatives across a range of underlying asset classes and the valuation of fixed income and money market instruments
-    IFRS 2 share-based payment and BEE deal valuation
-    xVA modelling (credit and debit valuation adjustment, funding valuation adjustment, etc.)
-    IRRBB and FRTB regulatory compliance
-    Alternative reference rate transition

Your client and business responsibilities

•    Participate in client engagements 
•    Assist with the build and delivery of client solutions, based on knowledge of clients’ agendas
•    Develop informed views for clients on the implications of current and anticipated industry issues 
•    Assist with new business sales through proactively managing accounts, identifying new client opportunities and playing a role in developing and driving sales campaigns
•    Maintain an educational program to continually develop your own personal skills

To qualify for the role, you must have:

•    Qualifications: Relevant Honours or Masters (MCom / MSc /MPhil) level degree
•    Professional qualification (CFA / FRM / PRM / FIA / FASSA) a plus
•    A minimum of 3 – 4 years relevant working experience
•    Proficiency in VBA, R or Python

What working at EY offers 

As one of our valued employees in EY, you get to work on inspiring, meaningful and challenging projects. Our focus is education and coaching alongside practical experience to ensure your personal development. At EY we value our employees and you will be able to control your own development with an individual progression plan. You will quickly grow into a responsible role with challenging and stimulating assignments. In addition to these, you will be part of an interdisciplinary environment that encourages high quality and knowledge exchange. Furthermore, we offer excellent working conditions, in a stimulating, inclusive and enjoyable environment. 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

About EY 
As a global leader in assurance, tax, consulting, strategy and transaction services, 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. 

If you can confidently demonstrate that you meet the criteria above, please contact us as soon as possible. 

Join us in building a better working world. Apply now.