FRM: Market Risk - Junior Consultant 2027

KPMG is currently recruiting Graduates for on-the-job training in 2027 within the Financial Risk Management: Market Risk team.

About The Division Financial Risk Management (FRM) assists clients in defining, supporting, and implementing risk strategies, actuarial and risk analytics, while ensuring compliance with all relevant regulatory standards. Our service lines include Credit and Capital Risk, Actuarial Services, and Market/Treasury Risk. Our teams work closely with clients to foster a culture of continuous improvement in implementing effective risk management programs and solutions and meeting regulatory requirements.

We specialise in credit risk model review and development for impairment (IFRS 9) and capital modelling (Basel). Our expertise also extends to capital and balance sheet management, including ICAAP, Risk Appetite, and Economic Capital modelling. Additionally, we provide support in credit policy reviews, audit support, and other strategic engagements aimed at optimising credit risk management frameworks. Coding is a key aspect of our work, preferred programming languages being SAS, Python, R and Matlab.

What We Offer Exceptional Learning Experiences: Engaging in advisory services means that no two projects or clients are the same, offering you continual challenges and the chance to expand your professional network.

Promising Career Development: You’ll find exciting opportunities for career advancement, with competitive compensation and the chance to work alongside industry leaders. Explore unconventional fields and participate in pioneering projects.

Comprehensive Risk Management Exposure: Gain extensive experience across various risk-related areas, allowing you to develop and refine a wide range of risk management skills.

Robust Professional Support: Work within a large team of experts dedicated to supporting both your business and professional growth and providing ample project resources.

Supportive Study Policies: We offer competitive financial support and study leave for further education.

Our team is complemented by curious, ambitious graduates who are eager to take ownership of their learning, thrive on solving complex challenges, and bring energy and resilience to a fast-paced consulting environment where their contributions make an immediate impact.

We believe what makes a successful Junior Consultant in Market Risk at KPMG is someone who:

• Has a keen interest in Market Risk backed by the relevant tertiary education/qualification
• Is a high performing team player who can work independently and contribute to a positive and cohesive team environment
• Is agile and can adapt to changing environments, spot problems and trace root cause to recommend solutions
• Is a dedicated self-starter, eager to learn in a high-performing environment

You Will Be Involved In

• Design, Implementation & model validation of market risk models such as IRRBB, FRTB and VaR
• Detailed understanding of pricing instruments such as Convertible bonds, Barrier Options, Cross currency swaps, Collar, etc..
• Hands-on design and implement complex derivative pricing models covering all key asset classes, from Equity, Interest Rate to commodities.
• Python development deep skills related to quantitative valuation
• Deep experience developing Numerical methods such as Montecarlo, binomial tree and analytical models for financial instrument valuations
• Experience building and model validating CVA/DVA models
• Client Interactions and critical Presentation skills
• Coding in SAS and Python, developing deep skills related to quantitative valuations
• Technical training and research, as well as soft skills development in the business context

Applicants must hold (or be completing) honours, master’s or PHD degree in one of the following fields

• Mathematical Sciences or Statistics
• Applied or Financial Mathematics
• Quantitative Risk Management
• Computer Science, Data Science, or Analytics
• Any other relevant degree in mathematics or statistics

Software

• MS Office tools (PowerPoint, Word, Excel & Visio)
• Coding: SAS, Python, R, MATLAB
• BI Tools for Visualization: PowerBI etc