Quantitative Risk Analyst– Market and Counterparty Credit Risk

Job description

KPMG Job Specification

Title: Quantitative Risk Analyst- Market and Counterparty Credit Risk

Business Unit: Financial Risk Management

Purpose of the Job:

Financial risk is an inescapable fact of life in the modern business environment and KPMG offers a broad ranging financial risk management service. In the current climate, enterprises of all kinds and sizes want robust financial risk management frameworks that satisfy compliance demands, contribute to better decision making and enhance performance.

Our Financial Risk Management professionals with backgrounds including actuaries, risk analysts, economists and banking professionals work with our clients to leverage and use their risk management and compliance experience to drive superior performance. The team requires a junior quantitative analyst to enhance its capacities around derivatives valuation, counterparty credit risk modelling and market risk analysis.

Key job duties or responsibilities:

The key requirement of the role is to design and implement quantitative risk valuation methodologies covering derivative pricing, hedge accounting, and Counterparty credit risk (CVA/DVA/FVA), market risk (FRTB), IFRS 13 and IFRS2 valuation.

This will typically cover simulation models, calibration methods, general derivatives valuation methodologies etc. but will also require a general understanding of the valuation under IFRS13 & IFRS2.

Accordingly, the role does require a solid quantitative background in derivatives valuation, market risk and counterparty credit risk:

Working in close partnership with senior quantitative analysts and risk managers the successful candidate will be expected to:

 Contribute to the delivery of methodology projects, gathering and documenting requirements, considering all stakeholders' interest, regulatory constraints and any potential deficiencies in the current methods exposed by quality assurance and reviews;

 Investigate, analyse and design valuation methodologies;

 Design, develop and test valuation methodologies using in-house derivation valuation system(CompatibL), client systems or Excel; and

 Ensure the methods and final valuation results are adequately documented to support internal reviews and validation by internal audit, regulators and other internal quantitative valuation team, by providing sufficient developmental evidences (i.e. materiality studies, assumptions, literature review/benchmarking against external methodologies).

Critical Technical Skills or competencies

To be successful, the candidate should meet the following requirements:

 A strong academic background, with at minima a Masters in mathematics, physics or quantitative finance;

 Proven experience in a quantitative finance environment, preferably in a market risk or counterparty credit risk modelling capacity ;

 Knowledge of Montecarlo simulation and stochastic models is a must; whilst not mandatory strictly speaking, previous exposure to derivatives valuation and Basel II/III frameworks would be highly preferred);

 Exposure to risk modelling for credit instruments;

 Good grasp of standard Interest Rate derivative valuation and hedging (including European/American option models) through analytic and numerical approaches;

 Practical knowledge of derivatives, their risk drivers and pricing models;

 Design and implementation of quantitative models, using VBA, Java, Python, C# or C++;

 Excellent communication/interpersonal skills and ability to work effectively in team environments;

 Ability to contribute and operate with minimum level of supervision.