Job Description

At EY, we’re all in to shape your future with confidence. 

We’ll help you succeed in a globally connected powerhouse of diverse teams and take your career wherever you want it to go. 

Join EY and help to build a better working world. 

Business Consulting QAS- Quantitative Trading Book (QTB)

Description

EY's 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 Quantitative Trading Book (QTB) 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 QTB, 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.

Your key responsibilities

  • Demonstrate deep technical capabilities and 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 client's 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.

  • Conduct performance reviews and contribute to performance feedback for Senior Consultants and Staffs

  • Contribute to people initiatives including recruiting talent

  • Stakeholder and client management

  • Play your part in developing intellectual capital to support delivering superior outcomes for client and firm.

    • To qualify for the role, you should have: 

  • Undergraduate (4-year degree) or Masters (Computational Finance, Mathematics, Engineering, Statistics, or Physics preferred) or in quantitative topics.

  • Working knowledge or academic experience of statistical and numerical techniques (, Monte-Carlo methods, Finite difference methods)

  • Knowledge of mathematical concepts and domain knowledge related to pricing derivatives for any of the asset classes such as fixed income, equities, credit, interest rates, FX, and commodities

  • Strong risk management/model development/validation knowledge in market risk (VaR, Stressed VaR, Expected Shortfall, etc.) and/or counterparty credit risk (CVA, PFE, etc.).

  • Good hands-on experience in model development/validation/monitoring/audit procedures (including Stress testing, Back-testing, Benchmarking, etc.).

  • Knowledge of mathematical concepts like Stochastic Calculus, Differential and Integral calculus (ODE/PDE/SDE), Numerical Methods, Linear algebra, Measure Theory. Related to pricing derivatives for any of the asset classes such as fixed income, equities, credit, interest rates, FX, and commodities

  • Development/Validation/Annual Review of Equity pricing models, Interest Rate Models (HW1F, HW2F, HJM, LMM), Stochastic Volatility (SABR, Heston) model, Local Volatility model (Dupire), frameworks for Volatility stripping and calibration, Bootstrapping of IR curves (Single curve, Multi curve framework), Asset Liability Management (NII, MVPE) and Prepayment Models.

  • Knowledge of Estimating Idiosyncratic volatility (specific risk) and estimating Beta, Handling missing data in time series, Validating proxy time series.

  • Strong coding skills in Advanced Python or Java, C++ with combination of Statistical packages in R. Basic knowledge of SQL is expected.

  • Excellent communication and strong problem-solving skills.

    • Good-to-have:

  • Certifications such as FRM, CQF, CFA, PRM

  • Regulatory knowledge/experience in areas such as Basel, CCAR, and FRTB.

  • Pricing/Risk management system knowledge/experience – Calypso, SunGard Adaptiv, Murex, Numerix, Bloomberg, RiskMetrics, Spectrum, EQF, etc.

  • Willingness to travel to meet client needs

    • What working at EY offers

    We offer a competitive compensation package where you’ll be rewarded based on your performance and recognized for the value you bring to our business. Plus, we offer:

  • A collaborative environment where everyone works together to create a better working world

  • Excellent training and development prospects, both through established programs and on-the-job training

  • An excellent team of senior colleagues, dedicated to managing and varying your workload

    • EY | Building a better working world

    EY is building a better working world by creating new value for clients, people, society and the planet, while building trust in capital markets.

    Enabled by data, AI and advanced technology, EY teams help clients shape the future with confidence and develop answers for the most pressing issues of today and tomorrow.

    EY teams work across a full spectrum of services in assurance, consulting, tax, strategy and transactions. Fueled by sector insights, a globally connected, multi-disciplinary network and diverse ecosystem partners, EY teams can provide services in more than 150 countries and territories.

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