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- Greater London London
- Ernst & Young
- Accountancy, Banking Insurance Finance, IT and Internet
- Working Pattern:
- Full time
- Date Posted:
- Monday, 2nd July 2012
- Flexibility Offered:
- No, Set
- Job Ref:
At Ernst & Young we are currently looking for Quantitative Developer to join our Financial Services Quantitative Advisory Team, which provides quantitative risk modelling services to the Financial Services Industry. We are looking to hire a strong Quantitative Developer to work on the design and delivery of risk modelling solutions. The role will cover credit, market and operational risk, with initial focus on credit risk.
The role will be based in our London offices, but may require travel to client sites throughout the UK and internationally.
Your responsibilities as a Quantitative Developer will include:
- Helping clients design and build quantitative risk and financial modeling solutions
- Working with our clients to build robust stress testing, forecasting and calculation engines
- End-to-end design, building and testing of modeling solutions
- Database development and analytics
- Model implementation.
Qualifications/skills you’ll need as a Quantitative Developer:
- Excel VBA: Experience of rapid modelling or prototyping in Excel VBA. Should be familiar with Excel object model, writing functions, using classes
- Object Orientated Programming: Ideally proficiency in C# or VB.NET. Alternatively Java, C++ or other OO languages
- User Interfaces: Experience designing simple, functional and elegant user interfaces, either web based (ideally ASP.NET) or thick client
- A have a keen interest in finance and risk
- Discounted Cash Flows and Fair Value modelling skills
- Experience in credit risk, in particular credit modelling around ratings, credit migrations and recoveries / loss. Experience of Basel II IRB models, impairment, loan loss forecasting and stress testing is ideal
- An understanding of statistical modelling techniques - VaR, Monte Carlo
- An understanding of credit portfolios, in particular mortgages and key risk and value drivers Good numerate degree.
At Ernst & Young our inclusive work environment means that everyone’s opinion is valued. This enables us to provide better advice and ideas to our clients, which in turn helps you develop as an individual to achieve your potential and make a difference.