Quantitative Financial Modeller

vor 4 Wochen


Frankfurt am Main, Hessen, Deutschland KPMG-Germany Vollzeit
Key Responsibilities

As a member of the iRADAR Financial Services Team at KPMG, you will be responsible for the quantitative analysis of financial instruments and portfolios, including the decomposition and valuation of complex financial instruments. You will also be involved in the analysis and valuation of Asset Backed Securities by applying cash-flow modelling, as well as the development and optimization of our valuation methodologies and in-house modelling library for financial instruments and derivatives. Additionally, you will calculate valuation adjustments for OTC Derivatives, such as CVA/DVA, and apply prudent valuation principles.

Requirements

To be successful in this role, you will need a degree in (business) mathematics, (business) physics, or a comparable degree in business economics or natural science with a quantitative focus. Ideally, you will have professional experience in the financial sector, particularly in evaluating fixed-income products and derivatives. You will also require sound knowledge of standard market models, such as Black-Scholes-, Hull-White- and local volatility models, as well as relevant market parameters. Furthermore, you will need sound knowledge of measure theory and stochastic integration, excellent Excel skills, and good programming skills in VBA, Python, C, C++, Java or similar programming languages. Finally, you will need an excellent command of English and good communication skills, as well as a confident appearance.

About the Role

As a Quantitative Financial Modeller at KPMG, you will work independently with varying teams and be a professional contact for our global clients. You will have the opportunity to expand our internally-developed solutions and add value to our clients in the banking, asset management and insurance sectors. If you are a motivated and detail-oriented individual with a passion for financial modelling, we encourage you to apply for this exciting opportunity.

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