Senior Consultant Quantitative & Financial Risk - Financial Services

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Requisition

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We have an opportunity for agile, market-savvy professionals in quantitative & financial risk and modelling. The focus of our team is on credit risk modelling, banking credit risk regulation, market risk modelling and (derivative) valuation, and derivatives instruments. We look to strengthen our team with Senior Consultants with a solid knowledge in one or more of these fields.

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 credit modelling. Together with our equally eminent colleagues of the Data & Analytics team, we also work on Machine Learning applied to credit risk as well as climate risk modelling for financial institutions as part of our sustainable finance workgroup.

On top of this continuous learning from local and international experts, we have developed an internal credit risk modelling program and an internal derivative valuation program. Both programs consist of a mix of face‑to‑face trainings, web‑based learning and on‑the‑job training.

In Market Risk, we work on topics such as:

• Regulatory topics:
  Fundamental Review of The Trading Book (FRTB), Interest Rate Risk in the Banking Book (IRRBB) and underlying models like pre‑payment models
• Stress‑Testing:
  Analysis and definition of stress‑scenarios related to Market Risk Factors taking into account their statistical properties

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 IFRS
13 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 the review of Model Governance Frameworks as well, how institutions identify, monitor, measure and mitigate Model Risk, in particular for Pricing Models and Market Risk Capital Models.

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:

• Participate in, and lead Risk engagements, with the focus credit risk modeling, including the link with accounting (e.g. IFRS
  9)
• You participate in engagements in the Risk practice, in the quantitative space, both from an advisory and an assurance perspective
• Support banks in preparing for regulatory reviews, or help them mitigate model weaknesses
• Assist banks in any stage of the model life cycle (developing new models, backtesting, independent validation of credit models, …)
• 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, including the innovative application of machine learning in this application domain
  • Assess the impact of climate risk and ESG considerations in general on market risk and (derivative) valuation model
• Explore and exploit the potential of alternative data and machine learning techniques to help financial institutions bring their credit modelling to the next level
• Investigate the impact of climate risk and ESG aspects in general on credit risk
• Contribute to the standardization and automation of the model development and model validation process
• Understand our full range of service offerings and actively identify and…