Assistant Manager

Job Description

Market/Treasury Risk - Quantitative Modeling GroupJob location: Bangalore/GurgaonGrade: Executive (2-4 years), Senior (4-6 years), Assistant Manager (5-8 years), Manager (7-12 years)

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
• 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 pricing models including the validation of input data, assumptions, conceptual soundness, calculation logic and outputs.

1. Required skill-set

• Excellent knowledge of valuations of OTC derivatives and the various pricing model/techniques that can be used. Hand on experience is preferred.
• Knowledge of VBA and FINCAD/Bloomberg is a mandate. Experience in one or more including MATLAB, C++, Python and R is highly preferred
• Asset Valuation Modeling - Vanilla/exotic derivatives (FX, Interest Rates, Energy) and Fixed Income instruments.
• Experience in Model Validation of Third Party Asset Liability/Risk Management systems such as QRM, ZMDesk,Principia and Polypath to name a few.
• Hand on experience in at least two of the following areas: PDE, Monte Carlo Simulation and Statistical Modelling.

1. Educational Background

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

1. 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

, Market/Treasury Risk - Quantitative Modeling GroupJob location: Bangalore/GurgaonGrade: Executive (2-4 years), Senior (4-6 years), Assistant Manager (5-8 years), Manager (7-12 years)

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
• 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 pricing models including the validation of input data, assumptions, conceptual soundness, calculation logic and outputs.

1. Required skill-set

• Excellent knowledge of valuations of OTC derivatives and the various pricing model/techniques that can be used. Hand on experience is preferred.
• Knowledge of VBA and FINCAD/Bloomberg is a mandate. Experience in one or more including MATLAB, C++, Python and R is highly preferred
• Asset Valuation Modeling - Vanilla/exotic derivatives (FX, Interest Rates, Energy) and Fixed Income instruments.
• Experience in Model Validation of Third Party Asset Liability/Risk Management systems such as QRM, ZMDesk,Principia and Polypath to name a few.
• Hand on experience in at least two of the following areas: PDE, Monte Carlo Simulation and Statistical Modelling.

1. Educational Background

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

1. 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

Keyskills :
salesmisaccountstatbankingmonte carlo simulationtest casesfixed incomeinterest ratesrisk managementmodel validationfinancial marketscommercial modelsmanagement systemsvaluation modelingmonte carlo