FS-RISK CONSULTING-FSRM, QTB-Senior

About the Role

This role offers the opportunity to work within EY’s Financial Services Risk Management (FSRM) group, supporting leading global financial institutions in identifying, measuring, and managing risk including trading book market risk & counterparty credit risk, banking book credit risk, operational risk, and regulatory requirements. As part of the Quantitative Trading Book (QTB) team within FSRM, you will contribute to strategic and functional transformation across risk, treasury, and front to back-office functions. You will apply quantitative skills to enhance risk and valuation processes, support regulatory compliance, and develop analytics that drive better decision making for clients with capital markets activities.

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 client's business.
• Manage risk, and effectively communicate with key stakeholders regarding status, issues and key priorities to achieve expected outcomes.
• Responsible for decision-making, optimizing processes, resource management, and overseeing team management as needed for task execution.
• Accountable for allocating personnel, supervising team members, assigning tasks, ensuring that the team has the necessary tools and support to succeed in their roles and optimizing and evaluating their performance to meet organizational goals.

Requirements & Tech Stack

• Strong understanding of statistical and numerical techniques (e.g., Monte Carlo, finite difference methods).
• Knowledge of derivative pricing concepts across asset classes (rates, equities, credit, FX, commodities).
• Solid grounding in mathematical foundations including stochastic calculus, differential and integral calculus, probability, linear algebra.
• Understanding of optimization techniques (e.g., gradient‑based methods) relevant to calibration, risk analytics, and numerical model implementation.
• Experience in model development, validation, monitoring, and audit procedures (stress testing, back testing, benchmarking) of trading book models.
• Strong coding skills in advanced Python / C++ and basic SQL.
• Awareness of emerging AI/ML methodologies and their use in risk management, model validation, and quantitative workflow automation.
• Excellent communication, analytical thinking, and problem solving skills.

Ideally, You Will Also Have:

• Exposure to market risk and counterparty credit risk methodologies (VaR, ES, SVaR, CVA, PFE) and time series techniques (e.g. GARCH).
• Hands on experience with pricing model development/validation (e.g., HW1F/2F, HJM, LMM, SABR, Heston, Dupire), volatility calibration, curve bootstrapping.
• Experience with risk/pricing systems such as Murex, Calypso, Numerix, Bloomberg, SunGard Adaptiv, RiskMetrics, etc.

Qualifications

• Undergraduate or graduate degree in quantitative disciplines (Comp. Finance, Mathematics, Engineering, Statistics, Physics) or PhD in quantitative topics.
• Regulatory knowledge in FRTB Basel, CCAR.
• Professional certifications (CQF, FRM, PRM, RAI are a plus).
• Ability to work in a fast-paced environment and support engagements with global financial institutions.
• Willingness to travel based on client needs.