Market Risk Consultant

10 hours ago

Bangkok, Bangkok, Thailand KPMG Thailand Full time

Location:
Bangkok, Thailand

Rank:
Senior

Job Description
KPMG Thailand's Financial Risk Management (FRM) banking advisory team advises clients on the development and implementation of risk management policies, data analytic, mathematic modelling, systems and controls. The scope of the work covers the full panoply of financial risks, such as credit risk, market risk, operational risk and liquidity risk; economic capital, capital management, stress testing, risk modeling and validation; and the prevention of money laundering and terrorist financing and regulatory compliance issues.

We are looking for experienced consultants to join our growing and talented team.

Roles and responsibilities

Risk function and treasury function transformation

  • To assist a team in providing advisory services to implement risk framework and system for financial institutions and corporates.
  • To leverage data science skills together with understanding in modelling techniques to support clients in optimizing data and conduct analysis that provides insights to clients to better assist in their decision-making, development, and business continuation.
  • Project management, planning, conception, and implementation of a suitable related treasury and risk management system.

Financial derivatives

  • Analyze product features and able to do fair valuation of various derivative products (FX Forward, IRS, CCS, Option, and exotic/complex derivatives) in accordance with TFRS13 requirements
  • Analyze risk associated to derivative products, and how market data changes affect the derivatives
  • Have knowledge of IBOR transition and its impacts to derivative fair valuation for corporate clients and banks, including newly introduction Risk Free Rates (RFRs), e.g. SOFR, ESTR, SONIA, TONAR, THOR.

Digital Asset

  • Independent analysis of the market potential of new asset classes such as alternative investments or crypto assets as well as development of valuation and accounting practice to our customers with a team
  • Analyze risk associated to digital asset, and how market changes affect the digital asset.
  • Management of programs to implement regulatory requirements at our customers

Hedge accounting under TFRS9

  • Perform Hedge accounting activities in according to TFRS9, e.g. Hedge designation, Hedge effectiveness testing, Hedge effectiveness/ineffectiveness portions analysis, Hedge documentation
  • Generate accounting entries as a consequence of Hedge accounting activities
  • Able to conduct and lead training/meeting session to explain complex Hedge accounting concept to clients
  • Any other related and ad-hoc assignment as assigned

Supervisory tasks

  • Able to coach and lead small team to achieve assigned tasks
  • Able to perform multi-project, and possess time management to meet tight deadline
  • Able to generate report and presentation to supervisor/clients
  • Able to build and maintain good relationship with clients

Qualifications

  • Degree in Finance, Engineering and Accounting.
  • Experience in Treasury-related field (Treasury product development, Market risk) will be a plus
  • Holding of Financial Risk Management ("FRM") certificate or Chartered Financial Analyst ("CFA") certificate is a plus
  • Ability to multi-task, work under pressure, and meet tight deadline
  • Proficient in using Bloomberg terminal and having basic excel VBA knowledge
  • Programming experience in PYTHON, SQL, VBA, C, C++, R, MATLAB, PowerBI (or other visualization tool) is an advantage.
  • Strong PowerPoint skills
  • Strong communication and presentation capability
  • Good command of both written and spoken English

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