EY Market Risk Valuation Consultant - Financial Services 

Belgium, Flemish Brabant 

696417229

Typical topics covered by the team in the context of market risk are:
-Capital Requirements Related (CRR):

• Regulatory topics :Fundamental Review Of The Trading Book (FRTB), Interest Rate Risk in the Banking Book (IRRBB) and underling models like pre-payment models,
• Market Risk Modelling: Value at Risk Models, Expected Shortfall, Extreme Value Theory, Risk Factor Analysis,
• Stress-Testing: Analysis and definition of stress-scenarios related to Market Risk Factors taking into account their statistical properties

Key Responsibilities

We are looking for a skilled quantitative professional, who may combine working on Belgian and European financial institutions. The ability to drive work forward to a conclusion, to find pragmatic solutions to complex problems and to explain and document them convincingly, are key factors in order to be successful in this role. Typical projects you will be involved in:

• You participate in engagements in the Risk practice, in the quantitative space, both from an advisory and an assurance perspective
• In the context of market risk and (derivative) valuation models typical tasks are:

• Develop and apply EY tools & models
• Participate to model development and model validation exercises
• Identify new areas for further development of EY tools & models
• Assess the impact of climate risk and ESG considerations in general on market risk and (derivative) valuation model

• You coordinate the workload in various projects, and develop productive working relationships with internal and external clients
• You prepare concise, complete and convincing reports on the work done, and present it to more senior colleagues and clients
• You act as a team member, coaching and supervising junior staff, seeking guidance from senior colleagues as needed, and keeping everybody informed on the progress of the assignment.

Skills and Attributes for Success

• Master degree in Physics, Mathematics, Statistics, Computer Science or relevant quantitative field;
• Between 2-5 years of relevant professional experience;
• Solid understanding of quantitative modeling techniques and practical experience with valuation of complex instruments (e.g. derivative, illiquid bonds) and/or market risk (e.g. FRTB, IRRBB, VAR models) is mandatory.
• Experience with building (risk) reports and experience with communication around (mathematical) complex issues at management level is a major plus
• Knowledge of some key vendor packages, and some frequently used programming languages (R, Matlab, C++, Python) in the risk and/or valuation domain is mandatory
• Proficient level of business English and good communication skills; knowledge of Dutch and/or French is a major asset;
• Team spirit, but self-sufficient and autonomous;
• Pragmatic approach, with the ability to self-motivate and inspire the members of a team;
• Eagerness to learn more about the Financial Services market in Belgium and Europe.

• You will be part of a leading global professional services firm.
• You will be part of the EY family where everyone is willing to offer support and senior management is very accessible.
• You will join a dynamic and growing team with a great mix of young and experienced professionals focusing on financial services.
• You will get extensive trainings on technical matters, as well as soft skills and project management, and you will have access to new technologies and innovative equipment.
• We are proud of our flexible working arrangements, and we will support you to build a successful career and deliver excellent client service, without sacrificing your personal priorities.
• While our client-facing profession might require part-time working at client site and business traveling at times, we are committed to helping you achieve a lifestyle balance.