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, as well as the decomposition and valuation of complex financial instruments. This will involve the application of cash-flow modelling to analyse and value Asset Backed Securities. You will also be responsible for developing and optimising 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 require 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 need sound knowledge of standard market models, such as Black-Scholes-, Hull-White- and local volatility models, and their application as well as relevant market parameters. Furthermore, you will require sound knowledge of measure theory and stochastic integration. Excellent Excel skills and good programming skills in VBA, Python, C, C++, Java or similar programming language are also essential. Finally, you will need an excellent command of English and good communication skills.

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