FRM Market Risk Senior Consultant
Full-time
KPMG South Africa
Role Summary
As part of the Quantitative valuation and market risk team, you will work alongside a team of capital market specialists and will be able to quickly build upon your existing industry skills to become an expert in your field. You will be expected to lead projects and contribute to developing and nurturing our existing talent pool.
Focus on preparation, delivery, reporting and evaluation of the results in response to the needs of stakeholders and external regulators will be key for the successful candidate.
Details
- Work closely with Managers and senior managers to deliver high quality valuation and market risk analysis services to our banking and financial services sector clients. The candidate will be involved in the review and assessment of Market risk methodologies and processes for the benefit of our banking clients.
- Supporting projects related to the implementation of the Interest Rate Risk in the Banking Book (IRRBB) and the Fundamental Review of the Trading Book (FRTB)
- Contributing to project related to Liquidity Risk and Counterparty Credit Risk, covering framework review, design and implementation
- Involvement in Derivatives valuation projects using analytical and numerical methods
- Prepare briefs and analytical notes and contribute to the writing of sections in analytical reports
- Coordinate with specialists within the broader team and the whole firm
- Complete tasks and deliverables to a high-quality standard as part of client engagements - working to an agreed plan, budget, and quality.
- Identify and document risks, issues and conclusions - consulting with appropriate team members as necessary
- Escalate risks and issues beyond own experience or skill set
- Lead thinking about the changing financial landscape by contributing to research for our clients.
- Integrate with the KPMG community, both locally and internationally, to identify and convert opportunities for business growth.
— Honours Degree in Quantitative Finance and ideally master’s degree in financial engineering or Quantitative Finance
— Certification such as FRM or PRM
— Excellent Quantitative Skills
— Development Skills (Excel/VBA, Python, R, C++)
— Solid business writing skills
— Attention to details
— Ability to work under pressure
Team player
At least 3 years’ experience in a top South African Bank or leading professional services firm
Vacancy posted 22 days ago
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