Consultant, Quantitative Model Developer - Financial Risk Team

at  EY

Join us in applying advanced quantitative methods to the area of financial risk. We keep up with the latest technologies, approaches and hot topics. Our clients are mainly banks, insurance companies and funds, both in the Czech Republic and abroad. As our new colleague, you will support us in quantitative projects (typically model development or validation) in the areas of either Credit or Market Risk. We also support our clients with the implementation of the latest approaches (FRTB, SA-CCR, IRB), methodologies and regulations.

Your role would be to participate in our projects related to quantitative risk management for top tier-I global clients and local regional clients. The specific project role would be agreed based on your experience and your skill sets.
On the Credit Risk side, we are involved for example in IRB modelling, implementation of new regulatory aspects, IFRS 9 models. We also extend models and processes to capture new types of risk like the Environmental, Social and Governance Risk or industry-specific ones.
On the Market Risk side, the projects involve the fundamental review of the trading book (FRTB) initiatives, counterparty credit risk projects, validation initiatives of front-office pricing models and other related topics.