KPMG - Manager - Market Risk - Quant Modeling - IIM/IIT/NIT

Market Risk - Quant Modeling - Manager - KPMG

Job location : Gurgaon, Bangalore (Managers - Gurgaon only)

Grade : Executive (2-4 years), Senior (4-6 years), Assistant Manager (5-8 years), Manager (7-12 years)

Roles and Responsibilities :

Valuation Assurance :

The candidate would be required to work as a - valuation specialist-, providing valuation assurance services to KPMG's clients based globally.

The specific responsibilities include:

- Analyzing the term sheets for the trades to be valued

- Using third party and/or KPMG proprietary tools to perform fair valuations of traded and non-traded products including OTC derivatives, fixed income securities, structured products, and hard-to-price securities

- Developing valuations models for instruments that cannot be priced using standard tools

- Calculating the adjustments related to counterparty credit risk including CVA, DVA and FVA

- Determining hedge effectiveness, if applicable

- Creating valuation memorandum describing the detailed valuation methodology, specifics of market data used, and assumptions applied. Variance report is also included here to compare client's valuation and KPMG valuation, highlighting the trades where the difference is beyond the tolerance level, and providing the rationale to such variances

- Continuous interaction with onshore valuations team and audit team is required during the entire course of the engagement

Model Development and Validation :

The candidate is required to work on development and validation strategic and regulatory quantitative and statistical models ranging from simple to highly complex structure.

The responsibilities include :

- Analyze business and regulatory challenges faced by the client and determine most effective solutions to deal with them

- Propose different approaches, discuss the pros and cons of each, and finalize the one that is most suited to the client

- Determine the high level phase-wise approach to execute the engagement and discuss on effort estimates with the onshore/client for all the modules to be covered

- Engage with the onshore and/or client at different levels on a frequent basis and ensure project execution as per the plans.

- Discuss the progress of the engagement and seek intermediate approvals from the business owners

Model development :

- Develop quantitative and statistical models based on client's business and regulatory requirements, create comprehensive test cases and develop automated test engines, and perform thorough testing before rolling them out to the client.

- Execute the models based on business inputs and discuss the results with the client

- Create model document describing business use, conceptual philosophy, mathematical logics, and implementation and testing approach of the model developed.

Model Validation :

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

- Create comprehensive document detailing the validation steps performed, validation findings along with their criticality, and alternate recommendations based on leading practices followed by practitioners globally

- Assist in development of new solutions for the firm based on market requirements and service line strategy

- Create case studies, technical and white papers, and dynamic proof-of-concepts around in-demand solutions to create market awareness and visibility

Additional responsibilities for Manager level candidate :

- Demonstrate high rate leadership qualities and be a role model for the team

- Provide guidance on subject matter to the resources working at the execution level

- Ensure highest level of quality in the deliverables through sampled or full scale review of the work performed by the team. Determine the quality control mechanism and ascertain its adherence

- Be involved in framing the end-to-end strategy of deliverables and help the team in solving complex issues they come across

- Be involved in the key client and onshore calls to evaluate the progress of the engagement

- Seek client feedback on a proactive basis and determine action items on improvement areas

- Take the ownership of business targets and formulate the strategies to achieve those

- Lead the business development activities to increase the business penetration

- Place due focus on business areas which are aligned with the strategic growth plan of the firm and determine ways to increase the overall business volume to the firm

- Maintain a strong relationship with the stakeholders by having regular calls with them to understand their existing and potential requirements and work on providing solutions on those

- Plan out the resource allocation to meet the target utilization of the team

- Build out new capabilities which are in high demand

- Encourage and drive innovation in the delivery, proposals, collateral development and other business activities

- Identify the training needs for the resources and prepare business case to get requisite management approvals

- Determine the hiring needs based on the business pipeline and drive the entire recruitment process

- Take the onus of formulating business goals for the team members and help them achieve those

- Understand personal growth aspirations of the team members and mentor them to accomplish them

- Be an interface between the team and top management and put forth any significant matter of concern within the team proactively to the leadership

- Collaborate with other service network and service lines to leverage their specific expertise in the engagements

- Promote the use of specialized capability hubs including Research, Benchmarking and PMO groups by discussing with the engagement leaders

Required skill-set :

Valuation Assurance :

The candidate would be required to work as a - valuation specialist-, providing valuation assurance services to KPMG's clients based globally. The specific responsibilities include:

- Excellent knowledge of valuations of OTC derivatives, fixed income instruments, securitized products and hard-to-price securities. The specific products include:

- Loans (Term-loans, Revolvers),

- Corporate Bonds,

- Swaps and Swaptions (Interest Rates, Cross Currency, Total return, Basis, Equity)

- Options (European, American, Bermudan, Barrier, Binary, Asian, Caps, Floors),

- Credit instruments (CDS, Credit Index, CDX Options),

- Volatility instruments (Variance/Volatility swaps, volatility options),

- Securitized Products (RMBS, CMBS, ABS), etc.

- Strong understanding of counterparty credit risk calculations including CVA, DVA and FVA calculations, as applicable

- Knowledge of hedge effectiveness modeling would be preferred

- Exposure to one or more asset classes including Equity, FX, Energy & Commodity, Index, Interest Rates

- Knowledge of excel and VBA is a mandate. Working experience on one or more tools and languages including FINCAD, Bloomberg, MATLAB, Python, C, C++ is highly preferred

Model Development and Validation:

Significant experience in quantitative development and validation of the following classes of models:

Regulatory Models (Mandatory - Two or more) :

- Economic and regulatory capital Models - for Market Risk based on CCAR and BASEL requirements. Capital modeling experience in Credit Risk and Operational Risk (Ops VaR) would be an added advantage.

- Balance sheet forecasting Models

- CCAR, DFAST and BASEL Stress testing models - including PPNR, RWA etc

- Liquidity Risk Models including LCR, NSFR etc

Strategic Models (Mandatory - Two or more) :

- Market Risk Models - to quantify risk trade level risk exposures including Greeks and Sensitivities, portfolio level risk exposures including VaR, SVaR, and ES, EVT models, etc

- Asset Liability Management Models - cash flow forecasting, static and dynamic gap modeling, EVE and EaR modeling, NII and NIM Modeling

- Counterparty credit risk Models - including CVA, DVA and FVA Modeling

- Credit Risk Models - PD, LGD and EAD models

Pricing and Valuation Models (Highly preferred) :

- Pricing / Valuation Models - for OTC derivatives, fixed income instruments, structured products and hard-to-price securities

Analytical Models (One or more - highly Preferred) :

- Macro-economic forecasting models - Capital market expectation models, economic scenarios generation models for forecasting of FX, interest rates, inflation, index, etc.

- Hedging models - Static and dynamic hedging models

- Portfolio Analytics Models - Asset allocation models, risk-return optimization models, etc.

- Advanced computational models - Monte Carlo models, PDE models, Stochastic and other numerical techniques models

- Statistical Analysis Models - Cross sectional regression models (simple and multiple linear regression), time series models (trend models, AR, ARIMA, ARCH, GARCH, Co-integration, etc.)

Tools and Programming languages: Knowledge of Excel and VBA is a mandate. Experience on one or more including MATLAB, SAS, Python, R, C, C++, FINCAD, Bloomberg, QRM is highly preferred.

Educational Background :

- B.Tech from Tier 1 institutes like IITs, NITs, etc.

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

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

- Certification in Quantitative Finance (CQF) is a definite plus.

- Bachelor's or Master's degree in statistics would be highly preferred.

- MBA from Top tier institute would be an added advantage

Other requirements :

- Ability to interact closely with high level executives across our diverse clientele that includes investment banks, commercial banks, asset management companies, brokerage houses, financial exchanges, rating agencies, insurance companies and other financial services firms

- Have flexibility to adopt working with people present across different geographies and having different cultures.

- Should possess a team oriented and collaborative approach

- Have excellent presentation skills, including strong oral and writing capabilities

- Should have a striking quantitative and logical aptitude with an innovative bent of mind

- Demonstrate highest level of integrity and credibility as perceived by all those with whom s/he will work

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

Additional requirements for Manager level candidate

- Should be leading a team of 8-10 quantitative resources

- Must have an experience of at least 2 years working in the capacity of Manager/Senior Manager, AVP in an tier-1 investment banking captive, or equivalent

- Should have experience in all aspects of business and people management

- Experience of setting up a new team or new capabilities within a team would be a definite plus.

- Should have been responsible for the business targets and utilization of subordinates