Associate Director: Quantitative Advisory at Ernst & Young Global Limited (EY)

The role

The successful applicant will grow, develop and lead a team which can offer our clients advice and hands on assistance with issues such as

• Design, review and validation of market risk and pricing models in Capital markets.
• Fair Valuation of financial derivatives under IFRS 13 including exotics
• Valuation of BEE and share schemes under IFRS 2
• CVA/DVA/FVA modelling
• Economic Capital modelling
• Modelling across risk classes (market, credit, operational, liquidity) under standardised and advanced approaches
• Driving the FRTB implementation
   

Our client base covers the major retail, commercial and investment banks, insurance companies and asset management firms, including hedge funds. This is an opportunity to lead a growing team, with a first class client base.

Client Responsibilities

• Participate in and, as required, lead FSRM client engagements
• Develop long-term, sustainable relationships with key client stakeholders in line with our go to market strategies and individual market development initiatives
• Build and deliver relevant client solutions, based on knowledge of the client’s agenda
• Develop informed views for the client on the implications of current and anticipated industry issues
• Generate new business sales through proactively managing aligned accounts, identifying new client opportunities, playing a significant role in developing and driving a sales campaign/solution
• Develop own informed views for the client on the implications of key current and anticipated industry issues through their risk management perspective
   

People Responsibilities

• Live the EY values
• Act as a thought leader in the field of FSRM
• Lead engagement teams and accounts
• Develop people through effectively supervising, coaching, and mentoring all levels of staff ((identifying training needs where necessary)
• Provide learning and growth opportunities to staff and encourage the potential within all staff to take on challenging opportunities
• Conduct performance reviews and contribute to performance feedback for all levels of staff
• Contribute to people initiatives including recruiting, retaining and training FSRM professionals
• Maintain an educational program to continually develop own personal skills
   

Qualifications & Experience

• Qualifications Relevant Masters (MComm / MSc /MPhil) or Honours degree with a professional qualification (CFA / FRM / PRM / FIA / FASSA) a bonus- candidate must have a solid understanding of quantitative methods and their application in the FRM space
• Market related remuneration
• A minimum of 7 years working experience is required
   

Competencies Required

• Risk Neutral pricing and its application in the Capital markets
• Strong statistical aptitude in a modelling environment
• Basel 2.5, 3 knowledge
• Strong analytical skills
• Proficient in MS office
• Knowledge of VBA, SAS, Matlab, R
• Innovative, creative thinking
• Robust project management skills
• Solid presentation skills
• Effective time management
• Strong writing skills
• Initiative and enthusiasm
• Responsibility and maturity
• People skills
• Professionalism
• Confidence to be client-facing
• Above average linguistic aptitude
• Ability to work under pressure
• Flexibility to accept change in terms of the consulting/ advisory environment