Assistant Manager, Quant - KPMG Traded Risk Capital

  • Competitive
  • London, England, United Kingdom
  • Permanent, Full time
  • KPMG
  • 11 Mar 19

This role is primarily a quantitative analyst role focussing on the impact of regulatory change on bank business models and supporting banks with designing and implementing solutions

The Role
Responsibilities:

  • This role is primarily a quantitative analyst role focussing on the impact of regulatory change on bank business models and supporting banks with designing and implementing solutions such as:
    -  Build and/or review/challenge the derivative pricing models, xVA etc.
    - Ability to challenge model assumptions, limitations, model approach and contrast to best practice
    - Derivative instrument pricing and validation
  •  While the role will be market risk focussed, individuals are expected to be involved in both market risk and wider risk and capital related engagements.
  • As an Assistant Manager, you will be responsible for supporting project delivery as well as internal business development activities.
  • The role will require working with senior internal stakeholders and senior external stakeholders across various functions including Front Office Trading, Risk, Product Control and Technology. 
  • The individual will need to be proactive in keeping abreast of regulatory expectations and industry practices.

The Person
Qualifications & Skills:

  • Strong quantitative experience within market risk of at least 4 years is mandatory (e.g. VaR, SVaR, IRC, RWA and ES etc.).
  • Worked in a market risk, model development or validation (or similar) functions for an investment bank, asset manager, insurance, hedge fund or similar organisation.
  • Ability to balance market risk experience within the consulting environment, adapt to different risk topics
  • Quantitative modelling skills in a range of programming languages (e.g. Python)
  • Proven ability of effectively delivering market risk related projects.
  • Ability to communicate and challenge senior management (Front Office, Risk, Product Control and Technology) on a range of market risk topics.
  • Excellent communication skills (oral and written), planning, project management, networking and influencing skills.
  • Flexibility to work across the UK (and internationally) where required.