Quantitative Counterparty Credit Risk / CVA Specialist recruitment
As a Financial Services Quantitative Advisory Counterparty Credit Risk/CVA specialist, you'll help clients better assess and improve their risk and regulatory frameworks. You'll also support them to integrate risk management into operations, grow revenue and manage risk to increase shareholder value. You'll gain valuable experience across industries and geographies and receive the support and opportunities you need to achieve your potential.
Your responsibilities as a Quantitative Counterparty Credit Risk specialist will include:
- Providing subject matter expertise across a variety of Counterparty Credit Risk management engagements, in front office and middle office environments covering the following;
*Exposure modelling
*CVA modelling
*Derivative pricing
*Backtesting of exposure methodologies
*Wrong way risk
*Stress testing
- Providing subject matter expertise across a variety of quantitative engagements
- Developing new market offerings and propositions
- Contributing to and leading proposals for advisory work
- Liaising internally with other Ernst Young teams and service lines in the UK, Europe and Globally
- Performing overall quality and technical review of work delivered by the Quantitative Advisory Services team
Qualifications/skills you'll need as a Quantitative Counterparty Credit Risk specialist:
- Educational background: PhD or MSc in a Quantitative subject, i.e. Quantitative Finance, Mathematics or Physics
- Experience of Quantitative Derivatives within Financial Services
- Prior experience in an analytical role in industry
- Experience in valuation of bespoke financial instruments and structured products.
- Particular hands on experience in:
*CVA pricing
*Counterparty Credit Risk modelling to regulatory EPE standards
*Defining and operating the backtesting and validation framework for EPE model
*Counterparty/portfolio stress testing
-C++/Visual Basic/Excel routines and analytical programming requirements.
At Ernst Young our inclusive work environment means that everyone's opinion is valued. This enables us to provide better advice and ideas to our clients, which in turn helps you develop as an individual to achieve your potential and make a difference. 