KPMG - Consultant/Senior Consultant - Quantitative Analysis & Market Risk (1-3 yrs)
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
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