Senior Consultant/Manager - Market Risk, Financial Risk Management

In KPMG's Advisory practice, we don't limit ourselves to either strategy or implementation. Instead, we deliver both. Our team in Hong Kong and in China is a young and enthusiastic team that always pushes itself to succeed. Since our creation, we have developed in-depth knowledge of an incredibly broad spread of sectors and services.

Banking Advisory is a core service area for KPMG China and we are looking for Manager to join our Financial Risk Management practice.

KPMG'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 modeling and validation; regulatory compliance issues; licensing and regulatory reporting. There is a particular emphasis currently on assisting clients prepare for the implementation of FRTB (Fundamental Review of the Trading Book)/Basel IV and other current local and international regulatory and risk management initiatives. Clients include local and foreign financial institutions, and there is a strong focus on financial institutions in mainland China.

We currently have an outstanding opportunity in Hong Kong for Senior Consultant/Manager to provide experience and to help our expanding FRM team further develop its leading market position in the area of financial services advisory.

Responsibilities

As a manager, your role will be assisting clients with policy, framework, regulation, process, methodology, models and systems related to Market Risk. Your main responsibilities will be:

• Manage the execution of FRM Market Risk engagements (Periodic VaR and stress scenario analyses, VaR proxies etc.) to ensure quality service is delivered
• Set up new metrics with a focus in OTC derivatives (both by asset class and aggregation)
• Liaise with product traders conducting limit reviews/limit setting and ensuring there is no breaches, carryout positions risk analysis, risk updates and dealing with new products requests and approvals.
• Calibrate flags/limits for those metrics together with CRO and FO
• Be able to help develop scenarios taking into account concentration, liquidity etc.
• Ability to develop & Implement risk analysis tools for reporting, analytic and identification purposes.

Qualifications

• Around 2 - 7 years experience in professional services advisory, management consultancy, international banking, insurance or a blue chip industry company with demonstrable experience in financial risk management
• Possess a depth of knowledge in:

• Financial Risk Management within a Banking or Securities firm
• Setting up risk appetite and risk frameworks.
• Derivatives, structured products and pricing models in either FX or Interest Rates
• Understanding of Derivative and Structured financial instruments
• Technical understanding of OTC products and their risk profiles (asset class can be Prime and/or Credit Products, FI and Equity Derivatives, and/or Rates/FX)
• Quantitative skill set for Modelling and implementation purposes - including: Financial modelling, derivative modelling, stochastic calculus, stress testing).
• Experience with SAS, Python, C++ or R is a plus

• Exceptional interpersonal skills with a demonstrated ability to gain the confidence and respect of senior executives
• Strong planning and organizing skills, with the ability to work effectively under pressure managing multiple/ large scale projects or project deliverables
• Excellent analytical skills coupled with a pragmatic approach to problem solving
• Fluent in both English with excellent business and technical writing and presentation skills. Proficiency in Chinese(Mandarin and Cantonese) is a strong advantage
• Cross cultural business and overseas experience preferred
• Degree holder in a quantitative subject - such as Risk Management, Physics, Engineering, Applied Mathematics, Computational Finance or any other business related discipline
• HKICPA, CFA or FRM Designation preferable