Risk Model Validation Executive

Executive

Roles & Responsibilities
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Support in the validation/ audit review/ development and monitoring of a diverse range of risk models, across various domains, including credit, market, operational, and liquidity risk.
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Conduct a comprehensive validation of various risk models, including documentation review, theoretical assessment, applicability analysis, data integrity checks, and verification of calculations and processing methods.
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Participate in model testing, which includes but is not limited to validation test plan preparation, independent replication of models, backtesting, and benchmarking using VBA, SAS, R, or Python.
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Document validation findings thoroughly, communicate discrepancies and results to model owners, collaborate to resolve issues, and produce comprehensive validation reports detailing methodologies, outcomes, and recommendations.
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Collaborate with the KGS team, KPMG Onshore teams, and clients if required to ensure the delivery of key project deliverables.
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Assist seniors/ AM/ Managers in managing project deliverables and interact with partners/directors to grasp project scopes and business requirements.
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Work on research projects related to solving certain statistical or mathematical problems.
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Flexible to work in a dynamic and fast-paced environment, managing multiple projects and priorities.
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Work effectively in a team environment, leveraging diverse perspectives and expertise.
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Maintain highest ethical standards and uphold KPMG's values and code of conduct.

Mandatory Technical & Functional Skills
Demonstrated interest in risk models across various domains, including credit, market, operational, and liquidity risk.

Strong analytical skills with a background or project experience in stochastic calculus, statistical models, machine learning, time series analysis, econometrics, simulation techniques, or option pricing theory.

Programming proficiency in Python is preferred; knowledge of Excel VBA, R, Tableau, and other programming languages is advantageous.

Preferred candidates possessing any level (Level 1 or Level 2) of the CFA/FRM (Financial Risk Manager) certification.

Proactive learner with a strong work ethic, attention to detail, and excellent written and verbal communication skills.

Educational Qualifications
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Master Degree in Financial Engineering, Mathematics, Statistics, Economics, or another analytical discipline from a reputable institution.
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Demonstrated R/ Python/ SAS/ SQL coding skills through coursework or projects.

Experience Level

Executive Level