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KPMG Romania is currently seeking a Risk Modeler, Financial Risk Management

KPMG’s Financial Risk Management (FRM) team advises clients on the development and implementation of risk management policies, systems, and solutions. We offer a broad range of financial risk management services to help financial institutions and corporate clients identify, measure, manage, and report the risks they face.

Our scope of 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 validations; and regulatory compliance issues.

As a member of the FRM team, the successful candidate will be responsible for supporting the team with model development and validation and other quantitative activities in a great variety of risk and regulatory projects, mainly for banks and other financial institutions.

Role and Responsibilities

The successful candidate will:

  • Work closely with subject matter professionals as part of advisory engagements related primarily to credit risk
  • Perform quantitative tasks (model development, validation, research), particularly in credit risk modelling involving scorecards, PD/ LGD/ EAD modelling, stress testing, economic capital models etc.
  • Create model documentation describing business use, conceptual approach, mathematical logic, and implementation and testing approach for the model developed
  • Perform quantitative work related to the valuation of derivatives and market risk modelling
  • Develop other quantitative and statistical models based on client’s business and regulatory requirements
  • Build and maintain strong working relationships internally and with client personnel

 

Skills and Qualifications

  • BSc or MSc in Mathematics, Statistics, Computer Science, Financial Engineering, Finance, Econometrics, Economics, or other quantitative discipline
  • Strong verbal and written communications skills in Romanian and English
  • Strong analytical and problem-solving skills
  • Experience with SAS, R, Excel-VBA is a plus
  • Excellent ability to manage timelines and meet tight deadlines
  • Ability to understand client challenges and propose value-added solutions

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