Hong Kong - Consultant / Senior Consultant, Risk Consulting, Financial Risk Management (Market Risk)

KPMG

  • Hong Kong
  • Permanent
  • Full-time
  • 12 days ago
KPMG China provides multidisciplinary services from audit and tax to advisory, with a strong focus on serving our clients' needs and their industries. Not only do we have an overriding commitment to provide the highest quality services for our clients, but we also strive to become a responsible corporate citizen that has a positive impact on our environment and community. At KPMG, you'll translate insights into action and reveal opportunities for all-our teams, our clients and our world.Service Line OverviewKPMG's Financial Risk Management (FRM) team advises clients on the development and implementation of risk management policies, systems and controls. Working with professionals from KPMG International and local network we offer a broad range of financial risk management services to help international banks, insurance companies, asset managers, and corporate and public clients identify, assess, manage, report, and limit the risks they face.Our scope of the work covers the full spectrum of financial risks, such as credit risk, market risk, operational risk and liquidity risk; economic capital, capital management, stress testing, risk modelling and validation; regulatory compliance issues; ESG and Asset and Liability Management. Clients include local and foreign financial institutions, and there is a strong focus on financial institutions in mainland China.Key Responsibilities
  • Support engagement leaders to provide high quality, professional day-to-day execution of FRM projects to financial
institutions, in particular:o Review and advise enhancements on market risk and counterparty credit risk management frameworks;o Validate closed-form and numerical (including but not limited to Monte-Carlo simulation and finite difference methods)pricing models across interest rate, FX, equity, credit and commodity asset classes through benchmarking and replication techniques;o Validate risk sensitivities, market risk, counterparty credit risk measurement and /or Credit Valuation Adjustment (CVA) models through benchmarking and replication techniques; and/oro Validate the implementation of market risk capital requirements, counterparty credit risk capital requirements and/or initialmargin models
  • Support or act as engagement manager in engagement planning, scheduling, coordination, and administration of
engagements
  • Develop and maintain productive working relationships with client personnel, and lead client meetings
  • Assist with proposal drafting and business development activities
  • Build strong internal relationships within the Advisory practice and across other services
Experience & Background
  • Bachelor's degree or above in Mathematics, Accounting, Economics, Finance, Risk Management, Data Science or related discipline from an accredited college / university
  • Around 2-5 year of experience in market risk management, counterparty credit risk management, model development and/or model validation related areas, and preferably experience gained in professional services firms or financial institutions.
  • Following technical knowledge and working experience is highly preferred:
o Knowledge in latest Basel capital standards (i.e. FRTB and SA-CCR) and initial margin models (i.e. SIMM)o Knowledge in complex financial instrument valuation models (including but not limited to jump-diffusion models and stochastic local volatility models) and risk measurement modelso Knowledge in numerical methods (including but not limited to probability theory, partial differential equations, optimizationand Monte-Carlo simulation techniques)o Working experience with Python, VBA and/or C++
  • Qualified FRM, CFA, HKICPA, ACCA, AICPA or equivalent would be advantageous
  • Proficient in both spoken and written English and Chinese (Putonghua)
  • Strong interpersonal, influencing and communication skills
  • Self-motivated and able to work independently
  • Demonstrated ability to learn and succeed in a fast-paced environment. Highly adaptive and flexible
About KPMGAt KPMG China, we are committed to being an equal opportunity employer, with zero tolerance for any form of discrimination against any persons. It is important for us to create an inclusive, diverse and agile workplace for our people to develop and thrive at both a personal and professional level.We strive to make ESG (environmental, social and governance) a watermark running through our organisation; from empowering our people to become agents of positive change, to providing better solutions and services to our clients to help them achieve their ESG goals. View Our Impact Plan to learn more about our ESG commitments and progress across four key pillars - Governance, People, Planet and Prosperity - and how we make a positive impact on our people, environment and society.We encourage you to come as you are, and we welcome all qualified candidates to apply, and hope you unlock opportunities with us. Visit KPMG China website for more company information.You acknowledge and agree that all personal information hereby provided regarding yourself will be used by KPMG China for its candidate selection purposed only. KPMG China collects, uses, processes, and retains your personal information in accordance with KPMG China's Online Privacy Statement and/or KPMG China Privacy Statement (collectively " Privacy Statement"). During the recruitment process, KPMG China may need to store personal information of candidates in a designated third-party application tracking platform.If you have any questions regarding the information you provided in the form or your job application in general, please contact KPMG China's HR personnel in the location where your application is submitted [ see here ].All applications applied through our system will be delivered directly to the advertiser and privacy of personal data of the applicant will be ensured with security.

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