FSRM Credit Quant Senior

FSRM Credit Quant - Senior

Location: Katowice - 2 days in office / 3 days remote

Let us introduce you the job offer by EY GDS Poland a member of the global integrated service delivery center network by EY.

The opportunity

EYs 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 EYs 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

• Demonstrate deep technical capabilities and industry knowledge of financial products
• Lead components of large-scale client engagements and/or smaller client engagements while consistently delivering quality client services
• Understand market trends and demands in the financial services sector and issues faced by clients by staying abreast of current business and industry trends relevant to the clients business
• Monitor progress manage risk and effectively communicate with key stakeholders regarding status issues and key priorities to achieve expected outcomes
• Play an active role in mentoring junior consultants within the organization

Other responsibilities (For Manager Rank):

• Conduct performance reviews and contribute to performance feedback for Senior Consultants and Staffs
• Contribute to people initiatives including recruiting talent
• Maintain an educational program to continually develop personal skills
• Experience in stakeholder and client management
• Play your part in developing intellectual capital to support delivering superior outcomes for client and firm.

To qualify for the role you must have

• Undergraduate (4-year degree) or Masters (Computational Finance Mathematics Engineering Statistics or Physics preferred) or Ph.D. in quantitative topics with at least 2-10 years of relevant experience.
• Working knowledge or academic experience of statistical and numerical techniques (E.g. Monte-Carlo methods Finite difference methods)
• Knowledge of mathematical concepts and domain knowledge related to pricing derivatives for any of the asset classes such as fixed income equities credit interest rates FX and commodities
• Strong risk management/model development/validation knowledge in market risk (VaR Stressed VaR Expected Shortfall etc.) and/or counterparty credit risk (CVA PFE etc.).
• Good hands-on experience in model development/validation/monitoring/audit procedures (including Stress testing Back-testing Benchmarking etc.).
• Knowledge of mathematical concepts like Stochastic Calculus Differential and Integral calculus (ODE/PDE/SDE) Numerical Methods Linear algebra Measure Theory. Related to pricing derivatives for any of the asset classes such as fixed income equities credit interest rates FX and commodities
• Development/Validation/Annual Review of 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 Models.
• Knowledge of Estimating Idiosyncratic volatility (specific risk) and estimating Beta Handling missing data in time series Validating proxy time series.
• Strongcoding skills in Advanced Python or Java C with combination of Statistical packages in R. Basic knowledge of SQL is expected.
• Excellent communication and strong problem-solving skills
• Project management and report writing experience

Ideally youll also have

• Certifications such as FRM CQFCFA PRM
• Regulatory knowledge/experience in areas such as Basel CCAR and FRTB.
• ETRM/CTRM systems experience with knowledge of end-to-end commodity trade lifecycle of power/gas/softs/metals etc.
• Pricing/Risk management system knowledge/experience Calypso SunGard Adaptiv Murex Numerix Bloomberg RiskMetrics Spectrum EQF etc.
• Willingness to travel to meet client needs
• German language

What we offer

EY Global Delivery Services (GDS) is a dynamic and truly global delivery network. We work across nine locations Argentina Hungary India the Philippines Poland Sri Lanka Mexico Spain and the United Kingdom and with teams from all EY service lines geographies and sectors playing a vital role in the delivery of the EY growth strategy. From accountants to coders to advisory consultants we offer a wide variety of fulfilling career opportunities that span all business GDS you will collaborate with EY teams on exciting projects and work with well-known brands from across the globe. Well introduce you to an ever-expanding ecosystem of people learning skills and insights that will stay with you throughout your career.

• Continuous learning:Youll develop the mindset and skills to navigate whatever comes next.
• Success as defined by you:Well provide the tools and flexibility so you can make a meaningful impact your way.
• Transformative leadership:Well give you the insights coaching and confidence to be the leader the world needs.
• Diverse and inclusive culture:Youll be embraced for who you are and empowered to use your voice to help others find theirs.

About EY

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.

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

The exceptional EY experience. Its yours to build.

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