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Senior Consultant or Quantitative Manager in Credit Risk Models

Hybrid in Madrid·Added 14 days ago (last checked 19 Oct)

EY

175 open roles

Overview

Work mode
Hybrid, Madrid
English
Required
Experience
2+ years
Education
University degree
Benefits
Life insurance, flexible pay plan, meal vouchers, gym access

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Skills

This job advert was originally written in Spanish.

Requirements

What we're looking for

  • Education in mathematics, statistics, engineering, or other technical careers with a strong quantitative focus.
  • 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.

Nice to have

  • Knowledge or understanding of regulatory implications is desirable: CRR/Basel, IFRS 9.
  • Postgraduate courses and specialization courses in modeling techniques, statistics, and quantitative finance will be valued. Holding the FRM or CFA certification will also be positively valued.

Pay & benefits

What you'll get

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

The role

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

What you'll do

  • Development, validation, or audit of:
  • Credit risk models for capital requirement calculations (IRB): PD, LGD, CCF.
  • Credit risk models for provisioning calculations (IFRS 9): PD, LGD, CCF, Maturity, Prepayments/ Early amortization.
  • Calculation engines, for both capital requirements and provisions.
  • Forward-Looking macroeconomic models, both for provisioning calculations and for stress testing exercises.
  • Models used for ICAAP purposes (Pillar 2).
  • Climate risk models (ESG).
  • Conducting Due Diligence on entities/portfolios subject to 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 level and internally, in an international environment.
  • Development of scoring or rating models

How you'll work

  • Hybrid work and flexibility according to the project.

Hiring process

1 interview

  • Interviews can mix in-person, phone and video contact.
  • You may be asked to complete a written or online assessment.

About EY

EY is one of the world's largest professional services firms, operating in over 150 countries with more than 300,000 employees. The firm provides assurance, tax, consulting, and strategy services to a wide range of industries, from financial services to technology and public sector. In Spain, EY operates through its main offices in Madrid and Barcelona, as well as regional offices in cities like Málaga, Sevilla, and Valencia, and a significant Global Delivery Services (GDS) hub that supports clients across Europe and beyond.

For international professionals, EY Spain offers a dynamic and multicultural work environment, with many roles in areas like cybersecurity, financial crime, sustainability, and technology consulting. The GDS Spain operations, particularly in hybrid and on-site roles, often require English and sometimes German or Portuguese, making them accessible to non-Spanish speakers. EY is known for its strong focus on professional development, global mobility opportunities, and a culture that values diversity and inclusion, making it an attractive employer for those looking to build a career in Spain.

Industry
Consulting
Founded
1989
Employees
300,000+
Headquarters
London, UK
In Spain
Madrid, Barcelona, Málaga and 2 more
Website
ey.com

Good to know if you are moving

  • EY Spain has a large Global Delivery Services (GDS) hub, with many roles in English, and some requiring German or Portuguese, making it accessible for international candidates.
  • Offices in Madrid, Barcelona, Málaga, Sevilla, and Valencia provide opportunities across various regions of Spain.
  • EY offers structured career development programs and global mobility opportunities, which can be beneficial for professionals seeking international experience.
  • Many roles in Spain are hybrid, offering flexibility between remote and office work.
  • EY is a top employer for recent graduates, with numerous entry-level and internship positions in consulting, audit, and tax.

In their own words

About the company & team

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

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

#ShapeTheFutureWithConfidence | #EYCareers | #BuildingABetterWorkingWorld

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

Additional information

  • Social impact actions from the EY Foundation.
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