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Manager: Actuarial, Quants and Data Science (Market Risk)

JOH002TY Requisition #
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Your key responsibilities 

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

  • IFRS 13 fair value measurement focussing on the valuation of exotic derivatives across a range of underlying asset classes and the valuation of fixed income and money market instruments
  • IFRS 2 share-based payment and BEE deal valuation

  • xVA modelling (credit and debit valuation adjustment, funding valuation adjustment, etc.)

  • Monte Carlo simulation techniques for valuations and event simulation

  • IFRS 16 lease fair valuation and incremental borrowing rate estimation

  • Risk modelling and stress testing of financial and non-financial models

  • Model risk monitoring

  • Liquidity risk management

  • Portfolio theory, portfolio performance measurement and fee calculation

  • Review and validation of FRTB and IRRBB implementations

  • Development of thought leadership material on relevant industry topics

Client responsibilities

  • Participate in and, as required, lead AQDS client engagements
  • Develop long-term, sustainable relationships with key client stakeholders in line with our go to market strategies and individual market development initiatives

  • Develop client solutions based on a deep understanding and knowledge of clients’ business needs

  • Develop informed views for clients on the implications of current and anticipated industry issues

  • Generate new business sales through proactively managing key accounts, identifying new client opportunities and playing a significant role in developing and driving a sales campaign/solution

People responsibilities

  • Live the EY values
  • Act as a thought leader in the field of market risk

  • Lead engagement teams and accounts

  • Develop people through effectively supervising, coaching and mentoring all junior levels of staff

  • 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 junior levels of staff

  • Contribute to people initiatives including recruiting, retaining and training AQDS professionals

  • Maintain an educational program to continually develop your own personal skills

Qualifications and experience required

  • Relevant Masters (MComm / MSc /MPhil) or Honours degree with a professional qualification (CFA / FRM / PRM / FIA / FASSA)
  • Sound understanding of quantitative methods and the application of these to financial risk management

  • A minimum of 5 years relevant working experience

Other skills and attributes for success 

  • Strong statistical aptitude in a modelling environment
  • Basel 2.5, 3 knowledge

  • Strong analytical skills

  • Proficient in MS office

  • Knowledge of VBA, R, Python

  • Innovative, creative thinking

  • Robust project management skills

  • Solid presentation skills

  • Effective time management

  • Strong writing skills

  • Initiative and enthusiasm

  • Responsibility and maturity

  • People skills

  • Professionalism

  • Confidence to be client-facing

  • Above average linguistic aptitude

  • Ability to work under pressure

  • Flexibility to accept change and adapt

What working at EY offers  

  • Work for a globally integrated firm of actuarial and quantitative professionals across more than 150 countries, enabling optimised and consistent views across the globe.
  • Work with and have access to industry experts, whilst gaining exposure across multiple engagements and clients in the financial services sector.

  • Develop both your technical expertise and other skills such as project and stakeholder management.

  • Further your continuous professional development through our in-house learning platforms as well as our external learning AQDS study policy.

  • Work in a company culture that values diversity and inclusiveness, flexibility, employee wellness and corporate social responsibility.

  • Receive ongoing mentoring, support and guidance to optimise your professional growth and progress your career at EY.

About EY  

As a global leader in assurance, tax, transaction and advisory services, we hire and develop the most passionate people in their field to help build a better working world. This starts with a culture that believes in giving you the training, opportunities and creative freedom to make things better. So that whenever you join, however long you stay, the exceptional EY experience lasts a lifetime.  

If you can confidently demonstrate that you meet the criteria above, please contact us as soon as possible.  

It’s yours to build.  

Apply now.  

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