Quantitative Analyst Job at Ernst and Young

Ernst and Young 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 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.

Job Title:  Quantitative Analyst
Role Description
The successful candidate will handle to handle IFRS 9 implementation projects for a bank in the following areas:

  • Validate the risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management under Basel
  • Make adjustments required to risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management (under Basel) to ensure compliance with IFRS 9 requirements
  • Provide quantitative and technical support required in building IFRS 9 compliant impairment models and calculators for clients
  • Identify adjustments required to risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management (under Basel) and ensure they comply with IFRS 9 requirements
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Qualifications

  • B.Sc. (2.1)/MBA in Mathematics or Actuarial Science

Relevant working experience

  • 2 -3 years credit risk modeling experience covering risk parameters such as PD, LGD, EAD/CCF etc. in an Advanced IRB environment
  • Basel II/III capital requirement calculations under Advanced IRB approach
  • Banking/Insurance
  • IFRS 9 and IAS 39 knowledge/experience will be an added advantage.
  • Modeling savvy:
    • Using mathematical sense to model under different scenarios
    • Model validation etc.
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How to Apply
Interested and qualified candidates should Click Here to Apply

 

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