Market Risk – Manager at Ernst & Young Global Limited (EY)

The opportunity 

• We are looking to expand our Financial Services Risk Management – Quantitative Advisory Services (QAS) team. 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. The role will focus on market risk valuations.

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 and lead client engagements
• Manage 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
• 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 QAS professionals

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 5 years relevant working experience
• Proficiency in VBA, R or Python