Quantitative Financial Modeller
vor 3 Wochen
We are seeking a highly skilled Quantitative Financial Modeller to join our team at KPMG-Germany. As a member of the iRADAR Financial Services Team, you will be working on quantitative topics such as the determination of fair value as well as valuation- and risk modelling of financial instruments and derivatives.
Key Responsibilities:
- Develop and optimize our valuation methodologies and in-house modelling library for financial instruments and derivatives.
- Analysis and valuation of Asset Backed Securities by applying cash-flow modelling.
- Calculation of valuation adjustments for OTC Derivatives (eg CVA/DVA) and application of prudent valuation principles.
- Work independently with varying teams and be a professional contact for our global clients.
- Develop sound knowledge of standard market models Black-Scholes-, Hull-White- and local volatility models and their application as well as relevant market parameters.
- Support us to expand our internally-developed solutions and use your knowledge to add value to our clients in the banking, asset management and insurance sectors.
Requirements:
- Degree in (business) mathematics, (business) physics, or a comparable degree in business economics or natural science with quantitative focus.
- Ideally professional experience in the financial sector, particularly in evaluating fixed-income products and derivatives.
- Excellent Excel skills.
- Good programming skills in VBA, Python, C, C++, Java or similar programming language.
- Excellent command of English.
- Good communication skills and confident appearance.
About the Role:
As a Quantitative Financial Modeller at KPMG-Germany, you will be part of a dynamic team that focuses on quantitative topics such as the determination of fair value as well as valuation- and risk modelling of financial instruments and derivatives. You will work closely with our clients and support us to expand our internally-developed solutions.
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