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Manager -Market/Treasury Risk


Job 5 - 10 years Fill 66 Bengaluru (Karnataka)

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.

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.

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.

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

KPMG is a global network of professional firms providing Audit, Tax and Advisory services. We operate in 155 countries and have more than 162,000 people working in member firms around the world. The independent member firms of the KPMG network are affiliated with KPMG International Cooperative ("KPMG International"​), a Swiss entity. Each KPMG firm is a legally distinct and separate entity and describes itself as such. KPMG was established in India in September 1993, and has rapidly built a significant competitive presence in the country. The firm operates from its offices in Mumbai, Pune, Delhi, Kolkata, Chennai, Bangalore, Hyderabad, Kochi, Chandigarh and Ahmedabad, and offers its clients a full range of services, including financial and business advisory, tax and regulatory, and risk advisory services. In India, KPMG has a client base of over 2700 companies. The firm's global approach to service delivery helps provide value-added services to clients. The firm serves leading information technology companies and has a strong presence in the financial services sector in India while serving a number of market leaders in other industry segments. Our differentiation is derived from a rapid performance-based, industry-tailored and technology-enabled business advisory services delivered by some of the leading talented professionals in the country. KPMG professionals are grouped by industry focus and our clients are able to deal with industry professionals who speak their language. Our internal information technology and knowledge management systems enable the delivery of informed and timely business advice to clients.

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