EY (Ernst & Young) is a global leader in assurance, tax, consulting, and strategy and transactions services. As one of the "Big Four" professional services firms, it operates a vast network of member firms across more than 150 countries, employing nearly 400,000 professionals worldwide to help clients navigate complex regulatory and business challenges.

In Spain, EY maintains a significant footprint with a major headquarters in Madrid and a strong presence in Barcelona and other regional hubs. The firm is a major recruiter of international talent, offering diverse opportunities in digital transformation, financial services, and sustainability, often within multicultural teams where English is a primary working language.

EY was formed in 1989 through the merger of Ernst & Whinney and Arthur Young & Co. Its roots date back to the 19th century with founders Arthur Young and Alwin C. Ernst, who established their respective firms in the US and UK.

For international professionals

EY Spain frequently hires international profiles for its Global Delivery Services and specialized consulting arms.
The company provides a structured career development framework and extensive internal training programs.
Many roles in technology and consulting hubs allow for hybrid work arrangements.
The firm has a dedicated International Mobility program to facilitate internal transfers and relocations.
Offices are located in major Spanish business hubs, offering flexibility in geographic placement.

Senior Consultant or Quantitative Manager in Credit Risk Models

This job was originally posted in Spanish and automatically translated to English. You'll most likely need Spanish to apply.

Job Description

At EY, we shape the future with confidence.
Here you will find more than a job: an opportunity to grow, learn, and leave a mark.

Join our 7,000 professionals in Spain and 15 offices, and a global network of 400,000 people working every day to transform businesses and societies.

#ShapeTheFutureWithConfidence | #EYCareers | #BuildingABetterWorkingWorld

The Opportunity

At EY, we are a leading global firm in audit, consulting, strategy and transactions, and legal and tax services.
We are driven by innovation, technology, and the purpose of creating a lasting positive impact.

The main functions to be carried out include the following:

Development, validation, or auditing of:

Credit risk models for calculating capital requirements (IRB): PD, LGD, CCF.
Credit risk models for calculating provisions (IFRS 9): PD, LGD, CCF, Maturity, Prepayments/Early Amortization.
Calculation engines, for both capital requirements and provisions.
Forward-Looking macroeconomic models, both for calculating provisions and for stress testing exercises.
Models used for ICAAP purposes (Pillar 2).
Climate risk models (ESG).

Performing Due Diligence on entities/portfolios targeted for acquisition.
Development of pricing models.
Development of customer segmentation models.
New definition of Default (NDoD).
Modeling with advanced methodologies (Machine Learning).
Analysis and advisory on the impacts of regulations related to financial risks.
Constant interaction with stakeholders and regulators, participation in presentations for relevant audiences, both at the client and internal levels, in an international environment.
Development of scoring or rating models.

Requirements for the position:

Education in mathematics, statistics, physics, engineering, or other technical degrees with a strong quantitative specialization.
More than 2 years of experience in credit risk models (IRB and/or IFRS 9).
Very high level of English (spoken and written).
Knowledge of any of the following packages: SAS, R, Python/PySpark.
Desirable knowledge or understanding of regulatory implications: CRR/Basel, IFRS 9.
Postgraduate courses and specialization courses in modeling techniques, statistics, and quantitative finance will be valued. FRM or CFA certifications will also be positively considered.

What do we offer you?

Well-being and personal benefits

Wellbeing HUB: includes policies and actions for physical (Wellhub) and mental health.
Life and Accident Insurance.
Bankinter Office with special conditions.
EY Flex Flexible Compensation Plan (transport, training, restaurant card, childcare...).

Flexibility and work-life balance

Hybrid work and flexibility depending on the project.

Professional Development

Continuous training through EY University, with an individualized training itinerary.
Career plan to boost annual growth within the firm.
Personalized support: you will have the support of a Buddy and a Counselor throughout your career.

Culture and work environment

Work in a dynamic and collaborative environment.
Opportunity to collaborate with global and multidisciplinary teams.
Expansion of your professional network in a diverse and enriching context.

Social Commitment

Social impact actions through the EY Foundation.

#LI-HYBRID

View original advert (Spanish)

En EY, damos forma al futuro con confianza.
Aquí encontrarás más que un trabajo: una oportunidad para crecer, aprender y dejar huella.

Únete a nuestros 7.000 profesionales en España y 15 oficinas y a una red global de 400.000 personas que trabajan cada día para transformar negocios y sociedades.

#ShapeTheFutureWithConfidence | #EYCareers | #BuildingABetterWorkingWorld

La oportunidad

En EY, somos una firma global líder en auditoría, consultoría, estrategia y transacciones y servicios legales y fiscales.
Nos impulsa la innovación, la tecnología y el propósito de generar un impacto positivo duradero.

Entre las principales funciones a llevar a cabo, destacan las siguientes:

Desarrollo, validación o auditoría de:

Modelos de riesgo de crédito para cálculo de requerimientos de capital (IRB): PD, LGD, CCF.
Modelos de riesgo de crédito para cálculo de provisiones (IFRS 9): PD, LGD, CCF, Maturity, Prepagos/ Amortización anticipada.
Motores de cálculo, tanto de requerimientos de capital como de provisiones.
Modelos macroeconómicos Forward-Looking, tanto para el cálculo de provisiones como para los ejercicios de estrés (stress test).
Modelos utilizados a efectos de ICAAP (Pilar 2).
Modelos de riesgo climático (ESG).

Realización de Due Diligence sobre entidades/carteras objeto de adquisición.
Desarrollo de modelos de pricing.
Desarrollo de modelos de segmentación de clientes.
Nueva definición de Default (NDoD).
Modelización con metodologías avanzadas (Machine Learning).
Análisis y asesoramiento sobre impactos de normativas relacionadas con riesgos financieros.
Constante trato con stakeholders y reguladores, participación en presentaciones para audiencias relevantes, tanto a nivel cliente como a nivel interno, en un entorno internacional.
Desarrollo de modelos de scoring o rating

Requisitos para la posición:

Formación en matemáticas, estadística, física, ingenierías u otras carreras técnicas con fuerte especialización cuantitativa.
Mas de 2 años de experiencia en modelos de riesgo de crédito (IRB y/o IFRS 9).
Nivel muy alto de inglés (hablado y escrito).
Conocimiento de alguno de los siguientes paquetes: SAS, R, Python/PySpark.
Deseable conocimiento o entendimiento de las implicaciones regulatorias: CRR/Basilea, IFRS 9.
Se valorarán cursos de postgrado y cursos de especialización en técnicas de modelización, estadística y finanzas cuantitativas. También se valorará positivamente tener el certificado FRM o CFA.

¿Qué te ofrecemos?

Bienestar y beneficios personales

Wellbeing HUB: incluye políticas y acciones para la salud física (Wellhub) y mental.
Seguro de Vida y Accidentes.
Oficina Bankinter con condiciones especiales.
Plan de Compensación Flexible EY Flex (transporte, formación, tarjeta restaurante, guardería...).

Flexibilidad y conciliación

Trabajo híbrido y flexibilidad según proyecto.

Desarollo profesional

Formación continua a través de EY University, con un itinerario formativo individualizado.
Plan de carrera para potenciar el crecimiento anual dentro de la firma.
Acompañamiento personalizado: contarás con el apoyo de un Buddy y un Counselor durante toda tu trayectoria.

Cultura y entorno de trabajo