FRM Market Risk Senior Consultant

KPMG South Africa; Johannesburg; On-site; ZAR 600,000 - 800,000; Full time

Job summary

A leading professional services firm in South Africa is seeking a skilled professional to join their Quantitative valuation and market risk team. The successful candidate will lead projects, deliver high-quality valuation and risk analysis for clients in the banking sector, and must possess strong quantitative skills along with an honours degree in Quantitative Finance and relevant certifications. Previous experience in a top South African bank or firm is necessary for this role.

Qualifications

• Honours Degree in Quantitative Finance required.
• Master’s degree in Financial Engineering or Quantitative Finance preferred.
• At least 3 years’ experience in banking or professional services.

Responsibilities

• Deliver high-quality valuation and market risk analysis services.
• Support implementation of IRRBB and FRTB projects.
• Contribute to Liquidity Risk and Counterparty Credit Risk.
• Prepare briefs and analytical notes for reports.
• Lead research contributing to client support.
• Identify and document risks during client engagement.

Skills

Quantitative Skills

Excel/VBA

Python

R

C++

Business writing

Attention to detail

Ability to work under pressure

Team player

Education

Honours Degree in Quantitative Finance

Master’s degree in Financial Engineering or Quantitative Finance

Certification such as FRM or PRM

Job description

Role Summary

As part of the Quantitative valuation and market risk team, you will work alongside a team of capital market specialists and will be able to quickly build upon your existing industry skills to become an expert in your field. You will be expected to lead projects and contribute to developing and nurturing our existing talent pool. Focus on preparation, delivery, reporting and evaluation of the results in response to the needs of stakeholders and external regulators will be key for the successful candidate.

Responsibilities

• Work closely with Managers and senior managers to deliver high quality valuation and market risk analysis services to our banking and financial services sector clients. The candidate will be involved in the review and assessment of Market risk methodologies and processes for the benefit of our banking clients.
• Supporting projects related to the implementation of the Interest Rate Risk in the Banking Book (IRRBB) and the Fundamental Review of the Trading Book (FRTB)
• Contributing to project related to Liquidity Risk and Counterparty Credit Risk, covering framework review, design and implementation
• Involvement in Derivatives valuation projects using analytical and numerical methods
• Prepare briefs and analytical notes and contribute to the writing of sections in analytical reports
• Coordinate with specialists within the broader team and the whole firm
• Complete tasks and deliverables to a high-quality standard as part of client engagements - working to an agreed plan, budget, and quality.
• Identify and document risks, issues and conclusions - consulting with appropriate team members as necessary
• Escalate risks and issues beyond own experience or skill set
• Lead thinking about the changing financial landscape by contributing to research for our clients.
• Integrate with the KPMG community, both locally and internationally, to identify and convert opportunities for business growth.

Qualifications

• Honours Degree in Quantitative Finance and ideally master’s degree in financial engineering or Quantitative Finance
• Certification such as FRM or PRM
• Excellent Quantitative Skills
• Development Skills (Excel/VBA, Python, R, C++)
• Solid business writing skills
• Attention to details
• Ability to work under pressure
• Team player
• At least 3 years’ experience in a top South African Bank or leading professional services firm