FSRM: Senior Manager - Quantitative Advisory
Ernst & Young AG
Johannesburg, Gauteng, South Africa
34d ago

Job spec for the role. Senior Manager : Quantitative Advisory EY is a global leader in assurance, tax, transaction and advisory services.

The insights and quality services we deliver help build trust and confidence in the capital markets and in economies the world over.

We develop outstanding leaders who team up to deliver on our promises to all of our stakeholders. In so doing, we play a critical role in building a better working world for our people, for our clients and for our communities.

We are currently recruiting for a Senior Manager within our Financial Services Risk Management team. The practice focusses on Financial Services across Banking, Insurance, and Corporate treasuries.

Our services cover statutory, regulatory, and other quantitative areas both from an advisory and an assurance perspective.

This includes risk modelling, pricing and valuation of financial derivatives and structured deals, and credit impairment calculations.

Drawing on your knowledge and experience, you will provide innovative commercial insights for clients, adapt methods and practices to fit operational team and cultural needs, and contribute to thought leadership.

You will also actively contribute to improving operational efficiency on projects and internal initiatives. In line with our commitment to quality, you will consistently drive projects to completion and determine that work is of a high quality.

The role : The successful applicant will grow, develop and lead a team which can offer our clients advice and hands on assistance with issues such as :

  • Design, review and validation of market risk and pricing models in Capital markets.
  • Fair Valuation of financial derivatives under IFRS 13 including exotics
  • Valuation of BEE and share schemes under IFRS 2
  • CVA / DVA / FVA modelling
  • Economic Capital modelling
  • Liquidity Risk management
  • Prudential Capital assessment across risk classes (market, credit, operational, liquidity) under standardised and advanced approaches
  • Design and review of enterprise risk management structures and target operating models covering all risk classes
  • Review and Validation of FRTB implementation
  • Review of banking regulatory reports (BA returns) and pillar 3 disclosure
  • Our client base covers the major retail, commercial and investment banks, insurance companies and asset management firms, including hedge funds.

    This is an opportunity to lead a growing team, with a first class client base. Client responsibilities

  • Participate in and, as required, lead FSRM client engagements
  • Develop long-term, sustainable relationships with key client stakeholders in line with our go to market strategies and individual market development initiatives
  • Build and deliver relevant client solutions, based on knowledge of the client’s agenda
  • Develop informed views for the client on the implications of current and anticipated industry issues
  • Generate new business sales through proactively managing aligned accounts, identifying new client opportunities, playing a significant role in developing and driving a sales campaign / solution
  • Develop own informed views for the client on the implications of key current and anticipated industry issues through their risk management perspective
  • People responsibilities

  • Live the EY values
  • Act as a thought leader in the field of FSRM
  • Lead engagement teams and accounts
  • Develop people through effectively supervising, coaching, and mentoring all levels of staff ((identifying training needs where necessary)
  • 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 all levels of staff
  • Contribute to people initiatives including recruiting, retaining and training FSRM professionals
  • Maintain an educational program to continually develop own personal skills
  • Qualifications & Experience :

  • Qualifications : Relevant Masters (MComm / MSc / MPhil) or Honours degree with a professional qualification (CFA / FRM / PRM / FIA / FASSA) a bonus-
  • candidate must have a solid understanding of quantitative methods and their application in the FRM space

  • Market related remuneration
  • A minimum of 7 years working experience is required
  • Previous consultancy experience would be an advantage
  • Competencies required :

  • Risk Neutral pricing and its application in the Capital markets
  • Strong statistical aptitude in a modelling environment
  • Basel 2.5, 3 knowledge
  • Strong analytical skills
  • Proficient in MS office
  • Knowledge of VBA, SAS, Matlab, R
  • Innovative, creative thinking
  • Robust project management skills
  • Solid presentation skills
  • Effective time management
  • Strong writing skills
  • Initiative and enthusiasm
  • Responsibility and maturity
  • Professionalism
  • Confidence to be client-facing
  • Above average linguistic aptitude
  • Ability to work under pressure
  • Flexibility to accept change in terms of the consulting / advisory environment
  • Who we are : At EY we support you in achieving your unique potential both personally and professionally. We give you stretching and rewarding experiences that keep you motivated, working in an atmosphere of integrity and teaming with some of the world's most successful companies.

    And while we encourage you to take personal responsibility for your career, we support you in your professional development in every way we can.

    You enjoy the flexibility to devote time to what matters to you, in your business and personal lives. At EY you can be who you are and express your point of view, energy and enthusiasm, wherever you are in the world.

    It's how you make a difference. Please note : Preference will be given to PDI candidates.

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