KPMG - Executive/Senior - Quant Modeling - Market Risk

1. Roles and Responsibilities

The candidate would be required to work as a - Valuation Specialist-, providing valuation assurance services, and - Quantitative Modeler- to develop/validate pricing/statistical models for KPMG's clients.

- Use third party and/or KPMG proprietary tools to perform fair valuations of traded and non-traded products

- Calculate the adjustments related to counterparty credit risk and perform hedge effectiveness if applicable.

- Develop quantitative and statistical models based on client's requirements, create comprehensive test cases and develop automated test engines

- Perform an extensive validation of client's models including the validation of input data, assumptions, conceptual soundness, calculation logic and outputs.

2. Required skill-set

- Excellent knowledge of valuations of OTC derivatives, fixed income instruments, securitized products and hard-to-price securities. Can Perform counterparty credit risk calculations including CVA, DVA and FVA

- Knowledge of VBA and FINCAD/Bloomberg is a mandate. Experience in one or more including MATLAB, Python, R, C++, FINCAD, Bloomberg, QRM is highly preferred

- Asset Valuation Modeling - Vanilla/exotic derivatives (FX, Interest Rates, Energy), Fixed Income instruments, structured products (CDO, MBS, ABS) including prepayment/default cash-flow modeling

- Knowledge of Advanced Numerical/Computational techniques such as PDE and Stochastic Calculus and Statistical Analysis Models such as Cross sectional regression and time series model is a plus.

3. Educational Background

- B.Tech / MBA from a Tier 1 institutes with knowledge of financial markets and programming.

- Advanced Quantitative Degrees including Masters in Financial Engineering, Masters in Risk Management, etc. would be most suited

- Professional Certifications like the CFA,FRM and CQF will be an added plus

4. Other requirements

- Ability to interact closely with high level executives both within and outside KPMG.

- Have flexibility to work with colleagues across different geographies and having different cultures.

- Should be open to both domestic and international travel on client engagements and for other business purposes