Quantitative Risk Management Specialist

3 weeks ago


Johannesburg, Gauteng, South Africa KPMG-SouthAfrica Full time

Position Summary

As part of the Quantitative Valuation and Market Risk team, you will work closely with capital market specialists to develop expertise in your field. The Assistant Manager role involves leading projects, contributing to talent development, and delivering high-quality risk analysis services to clients.

Key Responsibilities

  • Work closely with senior managers to deliver valuation and market risk analysis services to banking and financial services sector clients.
  • Review and assess market risk methodologies and processes for clients.
  • Support projects related to IRRBB and FRTB implementation.
  • Contribute to project-related work on Liquidity Risk and Counterparty Credit Risk, covering framework review, design, and implementation.
  • Prepare analytical notes and contribute to report writing.
  • Manage client relationships and coordinate with specialists within the team.

Requirements

  • Honours degree in Quantitative Finance, with a master's degree in financial engineering or Quantitative Finance.
  • Certification such as FRM or PRM.
  • Excellent quantitative skills.
  • Development skills in Excel, VBA, Python, R, and C++.
  • Solid business writing skills.
  • Attention to detail.
  • Ability to work under pressure.
  • Team player.

Experience

  • At least 4 years' experience in a top South African bank or leading professional services firm.


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