Assistant Managers, Quant - KPMG Traded Risk Capital

Job description

We are currently looking for Assistant manager level quants to join our KPMG Traded Risk Capital team within Banking Risk and have several vacancies.

The Role Responsibilities:

This role is primarily a quantitative analyst role focussing on the impact of regulatory change on bank business models and supporting banks with designing and implementing solutions such as:

- Build and/or review/challenge the derivative pricing models, xVA etc.
- Ability to challenge model assumptions, limitations, model approach and contrast to best practice
- Derivative instrument pricing and validation
- While the role will be market risk focussed, individuals are expected to be involved in both market risk and wider risk and capital related engagements.
- As an Assistant Manager, you will be responsible for supporting project delivery as well as internal business development activities.
- The role will require working with senior internal stakeholders and senior external stakeholders across various functions including Front Office Trading, Risk, Product Control and Technology.
- The individual will need to be proactive in keeping abreast of regulatory expectations and industry practices.

Qualifications & Skills Required:

- Quantitative experience within market risk (e.g. VaR, SVaR, IRC, RWA and ES etc.).
- Knowledge of pricing models (StochVol, SABR, Heston, Local Vol).
- Experience with key modelling frameworks (Heston, Stoch Vol, SABR, VaR, ES)
- Worked in a market risk, model development or validation (or similar) functions for an investment bank, asset manager, insurance, hedge fund or FS consultancy.
- Ability to balance market risk experience within the consulting environment, adapt to different risk topics Quantitative modelling skills in a range of programming languages (e.g. Python)
- Experience of effectively delivering market risk related projects.
- Ability to communicate and challenge senior management (Front Office, Risk, Product Control and Technology) on a range of market risk topics.
- Good exposure to the valuation of IR, Equity and FX derivatives
- Experience and understanding with model validation processes
- Good understanding of model documentation requirements
- Good understanding and experience of key methodologies (Black&Scholes, Binominal trees, CDS, discounting)
- Good understanding of MRM and model lifecycle
- Experience with Model Risk Policies
- Programming skills (mainly R and VBA)
- Excellent communication skills (oral and written), planning, project management, networking and influencing skills.
- Flexibility to work across the UK (and internationally) where requiredOpening Date: 16th August 2019
Closing Date: 13th September 2019
Salary: Competitive plus negotiable benefits and bonus