Location: Bangkok, ThailandRank: SeniorJob DescriptionKPMG 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 responsibilitiesRisk 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.
