KPMG - Consultant/Senior Consultant - Quantitative Analysis & Market Risk

Job title : Quantitative Analyst

Location : Mumbai - India

Purpose :

- To provide a quantitative service to Global Markets Trading and Structuring by valuing and providing a risk management service for exotic trades, performing ongoing research and development and developing quantitative solutions for a variety of Global Markets issues.

Responsibilities :

- Analyze and research specific products

- Initiate and implement mathematical modelling of the trade in line with given requirements

- Provide Traders and Structures with functionality so that they can use the model (depending on urgency, liaise directly with Traders)

- If prices differ vastly, provide on-going checking for relevance and alignment

- Support any trade or business approved by the DCF

- Model the pricing and run standard and VAR stresses on the model and its output prices

- Provide information to Market Risk, as well as base validations of trades to the accounting systems and downstream feeds to various other internal systems

- Provide a library of functions to Global Markets- Structures, Traders and Organization Group Treasury to enable them to :

(i) access source data needed to determine a price for a given point in time and (ii) provide functionality that allows them to value and produce risk sensitivities for various instruments in their chosen asset classes

- Perform on-going research and development into:

- Pricing of exotic trades and hybrid derivatives

- Dual curve construction for collateralization

- Index construction

- Efficient numerical methods

- On a project-by-project basis, engage with whoever has requested the model and maintain continuous engagement throughout the process

- Formally engage with Risk and Compliance to validate the model and provide a document detailing the finalized model and its underlying methodologies, strengths and weaknesses

- Engage with the DCF on an ad hoc basis to provide them with comfort around the model, propose market norms and identify down-the-line issues

- Build professional working relationships with all stakeholders, displaying abilities to communicate at all levels

- Find opportunities to leverage relationships and share knowledge

Qualifications and Experience :

- Post-graduate qualification in Mathematical Finance or another quantitative discipline Experience

- 1-3 years analytical experience working with financial instruments

Key Competencies :

- Analysis and attention to detail

- Problem solving

- Decisiveness and action orientated

- Drive for results

- Customer service orientation

- Building relationships

- Verbal and written communication

- Mathematical competence

- Knowledge sharing

- Business insight and Risk awareness

- Research Competence

- Monitoring and measuring