Senior, Market Risk (Financial Services Risk Management)

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Advisory Services Financial Services Office - Financial Services Risk Management (FSRM) - Market Risk - Senior Consultant

Description
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 EY s 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.

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

Qualifications, Certifications and Education

Must-have:

• Undergraduate (4 year degree) or Masters (Computational Finance, Mathematics, Engineering, Statistics, or Physics preferred) with at least 4 years of relevant experience or PhD in a quantitative topic
• Knowledge or academic experience of statistical and numerical techniques and principles of the theory of probability and stochastic calculus
• Knowledge of mathematical concepts related to pricing derivatives for any of the asset classes such as fixed income, equities, credit, interest rates, FX, and commodities
• Risk management knowledge in at least one area such as market risk (VaR, PFE, Expected Shortfall etc.) and/or counterparty credit risk
• Strong problem solving and solution development skills

Good-to-have:

• Certifications such as FRM, CFA, PRM
• Prior modelling background, including experience in model development and/or model validation of derivative pricing models and tools, in-house or third party valuation software and corresponding risk management models
• Regulatory knowledge/experience in areas such as Basel, CCAR, FRTB
• ETRM/CTRM systems experience with knowledge of end-to-end commodity trade lifecycle of power/gas/softs/metals etc.
• Risk management system knowledge/experience - Calypso, SunGard Adaptiv, Murex etc.
• Willingness to travel to meet client needs
• Previous project management experience
  

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