Senior Associate, Market Risk, Quantitative

KPMG LLP provides audit, tax and advisory services to a broad range of clients. KPMG's commitment to quality is demonstrated in our disciplined delivery approach and use of cross-functional teams. Advisory Services professionals strive to help clients improve business performance, comply with regulatory requirements, and achieve sustainable value over time. Our approach incorporates the balancing of risk and control considerations with the more traditional performance and cost factors. Advisory professionals are also able to provide clients with relevant industry and functional skills where they need them most. We are currently seeking Associates/Senior Associates to join us in our Atlanta or Charlotte offices. KPMG's Financial Risk Management (FRM) Services professionals help management and boards of directors to identify, measure, and monitor financial and business risks, the relationships between risks and returns, and the control environment over the management and reporting of these risks. In the very complex world of financial instruments, FRM professionals have assisted in valuation approaches; stress testing, model development and risk rating, and measurement approaches to help management leverage the leading practices in risk identification and measurement. Responsibilities for both positions: - Perform quantitative financial risk management engagements related to but not limited to foreign exchange, interest rate, credit, commodity risks and related controls - Assist audit teams by pricing exotic derivatives including but not limited to barrier options, constant maturity swaps, callable bonds, collateralized debt obligations, Bermudan swaptions - Review, validate and develop derivative pricing, Value-at-Risk, econometric, and dynamic financial analysis models Additional responsibilities for Senior Associates: - Demonstrate high level of understanding of capital markets processes, including trading, limits, risk management, credit, settlement and operations - Serve as subject matter expert in an product area, quantitative risk management or exotic derivative modeling - Lead staff in advisory engagements and audit assist assignments Qualifications for both positions: - Masters/Doctorate Degree in Quantitative Finance, Engineering, Mathematics, or Statistics from an accredited college/university - In depth understanding of risk neutral measures and martingale pricing theory - Familiarity with principles of stochastic calculus including It?'s Lemma, Lévy processes, etc. - Ability to computer program Monte Carlo simulations and utilize finite difference techniques in more than one programming language or application - Acquaintance with capital markets and related methodologies with in depth knowledge of derivatives pricing and risk measurement - Strong communication and presentation skills - Willing to travel up to 60 percent of the time and able to work overtime as needed Qualifications for Senior Associate: - Knowledge of fair value processes contained in FAS 157, including derivative counterparty credit adjustments - Knowledge of term structure models (including BGM, HJM, BDT, CIR, etc.), mortgage prepayment modeling, and default risk models (including KMV, Vasicek-Kealhofer, and Altman's reduced-form) - Prior advisory or project management experience KPMG offers and supports flexible work arrangements as well as part-time schedules. We also offer a comprehensive compensation and benefits package. Interested? We strongly encourage you to apply online at www.kpmgcareers.com and search for requisition 18983 or click the job link below. If you are interested in this, and other opportunities within KPMG, please attend The KPMG World Jobs Fair at http://events.unisfair.com/index.jsp?eid=298&seid=29&code=kpmgjobl . It starts at 9am GMT on Wednesday, September 24and closes at 9am GMT on Friday, September 26. Find out what time this is in your part of the world by clicking going to http://www.timeanddate.com/ KPMG. A great place to build your career. No phone calls or agencies please. KPMG Affirmative Action, Equal Opportunity Employer, M/F/D/V. KPMG maintains a drug-free workplace. © 2008 KPMG LLP, a U.S. limited liability partnership and a member firm of the KPMG network of independent member firms affiliated with KPMG International, a Swiss cooperative. All rights reserved. © 2005 KPMG LLP, the U.S. member firm of KPMG International, a Swiss cooperative. All rights reserved. JOB INFORMATION Job Title: Senior Associate, Market Risk, Quantitative Company: KPMG Location: Atlanta Status: Full Time, Employee Job Category: Accounting/Finance/Insurance Reference Code: 18983