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Full-Time
On-Site

Senior Consultant/Manager, Financial Risk Management, Derivatives Valuation and model validation

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Description

KPMG is seeking a Senior Consultant/Manager for their Financial Risk Management group in Montreal. This role involves valuing over-the-counter (OTC) financial instruments and derivatives to support audit teams for financial institutions and large corporations. Key responsibilities include executing valuation engagements, performing quantitative modeling or model validation, producing detailed valuation reports, communicating results to stakeholders, and managing multiple engagements under tight deadlines.

What We're Looking For

Execute valuation engagements related to financial instruments and derivative contracts,Perform quantitative work related to modeling or model validation,Ensure the execution of several engagements simultaneously,Produce detailed reports presenting the valuation opinion documenting the underlying approach, assumptions, and market data,Document the work according to documentation templates,Communicate the results to different stakeholders in a concise and clear way,Work to deadlines that may be very tight and hard to meet, possibly leading to extended hours

Ideal Candidate

Master's degree in finance or financial engineering, or any other related discipline,Certifications (CFA, FRM or PRM are an asset)

Minimum Education

Master's Degree

Hard Skills

Financial markets and derivatives valuation
Development of valuation methods for standard or exotic derivatives with complex cash flow structures
Calculation of sensitivities (Greeks)
Programming (Python, Matlab, VBA, R or SAS)
Market risk management (VaR)
Counterparty risk management (XVA)
Front, Middle and Back office environment understanding (processes, systems, risks, limits, controls)
Breakdown and attribution of P&L

Soft Skills

Technical capabilities
Analytical capabilities
Problem-solving capabilities
Excellent spoken and written communication
Timeline management
Ability to meet tight deadlines
Ability to perform under pressure
Initiative
Autonomy

Benefits

Comprehensive health and dental benefits, wellness subsidies, personal care days, retirement pension plans, flexible work arrangements, and extensive professional development support.

Special Commitments

Ability to work extended hours due to tight deadlines

About the Company

K

KPMG LLP (Canada)

KPMG LLP is a Canadian limited liability partnership and a member firm of the KPMG global organization of independent member firms. It provides Audit, Tax, and Advisory services to public and private businesses, not-for-profit organizations, and public sector entities. With over 40 offices across Canada, KPMG leverages its deep industry knowledge to help clients navigate complex challenges and achieve sustainable growth.

Professional
Collaborative
Impactful
Inclusive
Growth-oriented
View all jobs at KPMG LLP (Canada)

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