Quantitative Credit Risk Manager at Ernst & Young Global Limited (EY)

The opportunity

We are currently recruiting for a credit risk manager within our Actuarial, Quants and Data Science (AQDS) team. The practice focusses on financial services across banking, insurance and corporate treasuries. Our services cover statutory, regulatory, data science and other quantitative areas. This includes credit risk modelling and stress testing, credit risk model validation and the development of analytical solutions.

Your Key Responsibilities

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

• Validation of credit risk models across classes (PD, LGD, EAD, ECL) under IFRS 9
• Credit impairment assessment and due diligence reviews
• Review and validation of Basel internal rating-based models
• Design and review of risk governance operating models
• Regulatory capital modelling
• Design and review of credit risk pricing models
• Review of credit risk related Pillar 3 disclosures and BA returns
• Designing metrics that support business decisions and facilitate the efficient allocation of risk capital and management of exposure
• Development of thought leadership material on relevant industry topics
  
   

Client Responsibilities

• Participate in and, as required, lead AQDS client engagements
• Develop long-term, sustainable relationships with key client stakeholders in line with our go to market strategies and individual market development initiatives
• Develop client solutions based on a deep understanding and knowledge of clients’ business needs
• Develop informed views for clients on the implications of current and anticipated industry issues
• Generate new business sales through proactively managing key accounts, identifying new client opportunities and playing a significant role in developing and driving a sales campaign/solution
  
   

People Responsibilities

• Live the EY values
• Act as a thought leader in the field of credit risk
• Lead engagement teams and accounts
• Develop people through effectively supervising, coaching and mentoring all junior levels of staff
• 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 junior levels of staff
• Contribute to people initiatives including recruiting, retaining and training AQDS professionals
• Maintain an educational program to continually develop your own personal skills
  
   

Qualifications And Experience Required

• Relevant Masters (MComm / MSc /MPhil) or Honours degree with a professional qualification (CFA / FRM / PRM / FIA / FASSA)
• Sound understanding of quantitative methods and the application of these to financial risk management
• A minimum of 5 years relevant working experience
  
   

Other Skills And Attributes For Success

• Strong statistical aptitude in a modelling environment
• Basel 2.5, 3 knowledge
• Strong analytical skills
• Proficient in MS office
• Proficient in SAS
• Knowledge of VBA, R or Python
• 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 and adapt
  
   

What Working At EY Offers

• Work for a globally integrated firm of actuarial and quantitative professionals across more than 150 countries, enabling optimised and consistent views across the globe.
• Work with and have access to industry experts, whilst gaining exposure across multiple engagements and clients in the financial services sector.
• Develop both your technical expertise and other skills such as project and stakeholder management.
• Further your continuous professional development through our in-house learning platforms as well as our external learning AQDS study policy.
• Work in a company culture that values diversity and inclusiveness, flexibility, employee wellness and corporate social responsibility.
• Receive ongoing mentoring, support and guidance to optimise your professional growth and progress your career at EY.