Outsized has been appointed by (KPMG)(https://home.kpmg/za/en/home.html) to find an experienced quantitative market risk analyst with very strong skills in complex derivative pricing. This will be a permanent position with the ideal commencement date is mid-August, but there is flexibility for the right consultant. The candidate would be required to be present physically in the Gauteng office. This role reports into Quantitative Market Risk Management, an area within Audit focused on financial services, with deliverables as noted below. The role is at a Manager level and is most suited to a consultant used to the cut and thrust of audit work. The following list is not exhaustive, but indicative of key deliverables: The candidate will work on the most advanced quantitative topics in the market right now (IBOR transition, Initial Margin, XVA, SA-CCR, Monte-Carlo/Binomial Tree modelling, IFRS2 Share-based payment/BEE valuation, Valuation Embedded derivatives in contingent liabilities), and receive one of the best training/exposure in the local market. The candidate must come from a big 5 bank, or one of the large audit/advisory firm. Qualifications must include ideally certifications such as CFA/FRM/PRM and Hons/MSc degree in Mathematical Finance, Actuarial Science or Engineering or PhD Mathematical Finance/Applied Mathematics At least 5 years of experience, on topics such as Complex Derivative Pricing covering at least 2 of the following Asset Classes: Interest Rate, FX, Equity and Commodity, IFRS2 Share-based Valuation, XVA Valuation Experience. Strong Programming Skills (VBA, R, Python, etc…). Excellent communication and Report Writing Skills. R700 000 pa - R950 000 pa Excluding bonus The candidate must come from a big 5 bank, or one of the large audit/advisory firm. Qualifications must include ideally certifications such as CFA/FRM/PRM and Hons/MSc degree in Mathematical Finance, Actuarial Science or Engineering or PhD Mathematical Finance/Applied Mathematics At least 5 years of experience, on topics such as Complex Derivative Pricing covering at least 2 of the following Asset Classes: Interest Rate, FX, Equity and Commodity, IFRS2 Share-based Valuation, XVA Valuation Experience. Strong Programming Skills (VBA, R, Python, etc…). Excellent communication and Report Writing Skills. https://protool.gumtree.co.za/external-link-browser.html?urlaHR0cHM6Ly9lbi16YS53aGF0am9icy5jb20vY29vcG9iX19jcGxfX18xNTU1XzY3NTNfXzQ5Nz91dG1fc291cmNlPWd1bXRyZWUmdXRtX21lZGl1bT1mZWVkJmtleXdvcmQ9&jid1136366&xid1555_6753
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