Assistant Manager- Market Risk(Big4jobs)

The Modeling and Valuation team within the KPMG Global Services team provides a variety of quantitative model development, model validation, model monitoring, economic modeling and financial instruments valuation services for KPMG’s global client suite. The team consists of modelers in the areas of Market Risk, Credit Risk, Operational Risk and Liquidity Risk as per regulatory guidelines such as CCAR / CECL Stress Testing, IFRS 9 and AIRB approach under Basel norms. The team also supports KPMG’s audit clients with independent valuation of complex financial products such as derivatives and structured products.
We Are Recruiting For Manager In The Statistical & Quantitative Modeling Team With Specific Focus On Market Risk And PPNR Models. Your Responsibilities Will Include:

• Model development/validation/audit/review primarily for market risk and PPNR models including but not limited to Value at Risk models, and/or pricing and valuation models primarily for CCAR/DFAST reporting. Validation process involves understanding of development document, testing and benchmarking using SAS, R or Python and report writing
• Model validation including conceptual soundness, critical assessment of the testing performed by the model developers to support the integrity and accuracy of the model implementation and its fit-for-purpose, designing to evaluate the model’s predictive power and its robustness uncertainty through the development and use of alternative benchmark models.
• Proactively work with client and onshore teams for key deliverables in line with Project requirement
• Responsible for key deliverables and engage with Partners/Directors to understand the project scope, business requirements and work with onshore and offshore teams to do successful delivery
  

Job Requirements
Mandatory Skills

• Qualifications:
• Advanced degree in Math, Statistics, Economics or any other Analytical disciplines from IIT/ISI OR any other tier1 institute or
• Any Graduate + MBA in finance with relevant experience/exposure.
• Additional certifications: Professional Certification such as FRM, CFA preferred
• Total Experience: 5+ years of experience in managing model validation/model risk engagements for large banks and/or tier 1 consulting organizations like Big 4 or captives of top tier banks is preferred
  

Preferred Skills

• Experience in valuation of derivatives or structured products, development or validation of pricing models across various classes viz., Equities, Credit, IR, FX, Commodities etc., Additional experience in validating PPNR and time series models would be a plus
• Strong understanding of regulatory requirements related to model risk management including but not limited to SR11-7/SR15-18/CCAR/DFAST/CECL
• Excellence in probability theory, stochastic processes, partial differential equations, numerical analysis, option pricing theory (quant models for pricing and hedging derivatives). Sound knowledge of various simulation techniques like Monte Carlo Simulation etc., Programming skills: SAS, R, Python. Expertise is one of these programming languages is a must. Programming ability in C++ would be a plus
• Personal drive and positive work ethic to deliver results within tight deadlines and in demanding situations without compromising on quality, and ethical standards and values
• Excellent written and verbal communication skills
• 
  Team player
• Self-driven
• Ability to work independently and motivate team members
  

RESPONSIBILITIES
The Modeling and Valuation team within the KPMG Global Services team provides a variety of quantitative model development, model validation, model monitoring, economic modeling and financial instruments valuation services for KPMG’s global client suite. The team consists of modelers in the areas of Market Risk, Credit Risk, Operational Risk and Liquidity Risk as per regulatory guidelines such as CCAR / CECL Stress Testing, IFRS 9 and AIRB approach under Basel norms. The team also supports KPMG’s audit clients with independent valuation of complex financial products such as derivatives and structured products.
We Are Recruiting For Manager In The Statistical & Quantitative Modeling Team With Specific Focus On Market Risk And PPNR Models. Your Responsibilities Will Include:

• Model development/validation/audit/review primarily for market risk and PPNR models including but not limited to Value at Risk models, and/or pricing and valuation models primarily for CCAR/DFAST reporting. Validation process involves understanding of development document, testing and benchmarking using SAS, R or Python and report writing
• Model validation including conceptual soundness, critical assessment of the testing performed by the model developers to support the integrity and accuracy of the model implementation and its fit-for-purpose, designing to evaluate the model’s predictive power and its robustness uncertainty through the development and use of alternative benchmark models.
• Proactively work with client and onshore teams for key deliverables in line with Project requirement
• Responsible for key deliverables and engage with Partners/Directors to understand the project scope, business requirements and work with onshore and offshore teams to do successful delivery
  

Mandatory Skills

• Qualifications:
• Advanced degree in Math, Statistics, Economics or any other Analytical disciplines from IIT/ISI OR any other tier1 institute or
• Any Graduate + MBA in finance with relevant experience/exposure.
• Additional certifications: Professional Certification such as FRM, CFA preferred
• Total Experience: 5+ years of experience in managing model validation/model risk engagements for large banks and/or tier 1 consulting organizations like Big 4 or captives of top tier banks is preferred
  

Preferred Skills

• Experience in valuation of derivatives or structured products, development or validation of pricing models across various classes viz., Equities, Credit, IR, FX, Commodities etc., Additional experience in validating PPNR and time series models would be a plus
• Strong understanding of regulatory requirements related to model risk management including but not limited to SR11-7/SR15-18/CCAR/DFAST/CECL
• Excellence in probability theory, stochastic processes, partial differential equations, numerical analysis, option pricing theory (quant models for pricing and hedging derivatives). Sound knowledge of various simulation techniques like Monte Carlo Simulation etc., Programming skills: SAS, R, Python. Expertise is one of these programming languages is a must. Programming ability in C++ would be a plus

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  Personal drive and positive work ethic to deliver results within tight deadlines and in demanding situations without compromising on quality, and ethical standards and values
• Excellent written and verbal communication skills
• Team player
• Self-driven
• Ability to work independently and motivate team members
  

QUALIFICATIONS
The Modeling and Valuation team within the KPMG Global Services team provides a variety of quantitative model development, model validation, model monitoring, economic modeling and financial instruments valuation services for KPMG’s global client suite. The team consists of modelers in the areas of Market Risk, Credit Risk, Operational Risk and Liquidity Risk as per regulatory guidelines such as CCAR / CECL Stress Testing, IFRS 9 and AIRB approach under Basel norms. The team also supports KPMG’s audit clients with independent valuation of complex financial products such as derivatives and structured products.
We Are Recruiting For Manager In The Statistical & Quantitative Modeling Team With Specific Focus On Market Risk And PPNR Models. Your Responsibilities Will Include:

• Model development/validation/audit/review primarily for market risk and PPNR models including but not limited to Value at Risk models, and/or pricing and valuation models primarily for CCAR/DFAST reporting. Validation process involves understanding of development document, testing and benchmarking using SAS, R or Python and report writing
• Model validation including conceptual soundness, critical assessment of the testing performed by the model developers to support the integrity and accuracy of the model implementation and its fit-for-purpose, designing to evaluate the model’s predictive power and its robustness uncertainty through the development and use of alternative benchmark models.
• Proactively work with client and onshore teams for key deliverables in line with Project requirement
• Responsible for key deliverables and engage with Partners/Directors to understand the project scope, business requirements and work with onshore and offshore teams to do successful delivery
  

#KGS
Preferred Skills

• Experience in valuation of derivatives or structured products, development or validation of pricing models across various classes viz., Equities, Credit, IR, FX, Commodities etc., Additional experience in validating PPNR and time series models would be a plus
• Strong understanding of regulatory requirements related to model risk management including but not limited to SR11-7/SR15-18/CCAR/DFAST/CECL
• Excellence in probability theory, stochastic processes, partial differential equations, numerical analysis, option pricing theory (quant models for pricing and hedging derivatives). Sound knowledge of various simulation techniques like Monte Carlo Simulation etc., Programming skills: SAS, R, Python. Expertise is one of these programming languages is a must. Programming ability in C++ would be a plus
• Personal drive and positive work ethic to deliver results within tight deadlines and in demanding situations without compromising on quality, and ethical standards and values
• Excellent written and verbal communication skills
• Team player
• Self-driven
• Ability to work independently and motivate team members
  

#KGS