Senior Quantitative Risk Advisory Lead

KPMG South Africa; Johannesburg; On-site; ZAR 1,800,000 - 3,200,000; Full time

Job summary

KPMG South Africa, Financial Risk Management (FRM), Johannesburg, seeks a Senior Manager to lead quantitative risk advisory and act as the technical reference expert. You will oversee complex model development, validation, and sign-offs across SSA, transforming advanced mathematical frameworks into trusted advisory solutions for tier-1 banks and DFIs.

You will drive stochastic modeling, embedded derivatives, XVA/FRTB, and risk analytics, mentoring teams while interfacing with risk committees and

Qualifications

• Education: MSc/MPhil or PhD in Financial Mathematics or related field from a premier institution.
• Certifications: PRM (PRMIA) or FRM (GARP) highly preferred.
• Experience: 6–9 years in Model Development or Validation within CIB at top banks or advisory practices.

Responsibilities

• Lead advanced quantitative frameworks across SSA market risk practice.
• Develop, validate, and sign off on complex models and algorithms.
• Oversee XVA, FRTB, and embedded derivatives valuation frameworks.
• Drive structured finance, securitisation, and risk analytics.
• Manage cross-border quantitative advisory for DFIs and banks.
• Mentor quantitative analysts and junior staff.
• Align models with enterprise risk infrastructure (Murex/CompatibL).

Skills

Advanced quantitative frameworks

Stochastic modeling

Embedded derivatives

XVA & FRTB

Structured finance

IRRBB analytics

CSRBB

IFRS risk accounting

Mentoring

Python programming

C++ programming

Education

Master’s or PhD in Financial Mathematics

Tools

Python

C++

Murex

CompatibL

Job description

KPMG South Africa, Financial Risk Management (FRM), Johannesburg, seeks a Senior Manager to lead quantitative risk advisory and act as the technical reference expert. You will oversee complex model development, validation, and sign-offs across SSA, transforming advanced mathematical frameworks into trusted advisory solutions for tier-1 banks and DFIs.

You will drive stochastic modeling, embedded derivatives, XVA/FRTB, and risk analytics, mentoring teams while interfacing with risk committees and