Market Risk Consultant

About the Role

KPMG Thailand’s Financial Risk Management (FRM) banking advisory team advises clients on the development and implementation of risk management policies, data analytics, mathematical modelling, systems and controls across financial risks (credit, market, operational, liquidity), economic capital, capital management, stress testing, risk modelling and validation, and regulatory compliance including AML/CFT. We are looking for experienced consultants to join the team in Bangkok (onsite).

Responsibilities

• Support advisory engagements to implement risk frameworks and systems for financial institutions and corporates, including project management, planning, conception and implementation of treasury and risk management systems.
• Leverage data science and modelling techniques to analyse data, generate insights, and support client decision-making and business continuity.
• Analyze financial derivatives (FX Forward, IRS, CCS, Options, exotic/complex derivatives) and perform fair valuation in accordance with TFRS13; assess how market data changes affect derivative risk and valuation.
• Understand IBOR transition impacts and new Risk Free Rates (SOFR, ESTR, SONIA, TONAR, THOR) on derivative valuation for banks and corporate clients.
• Conduct market analysis for new asset classes (alternative investments, crypto); develop valuation and accounting practices; analyze risks and market impacts for digital assets; manage programs to implement regulatory requirements.
• Perform hedge accounting activities under TFRS9 (hedge designation, effectiveness testing, ineffectiveness analysis, hedge documentation) and generate accounting entries arising from hedge accounting.
• Lead and coach small teams, manage multiple projects and tight deadlines, prepare reports and presentations for supervisors/clients, and maintain client relationships.
• Carry out ad-hoc related assignments as assigned.

Qualifications

• Degree in Finance, Engineering or Accounting.
• Experience in treasury-related fields (treasury product development, market risk) is a plus.
• FRM or CFA certification is a plus.
• Proficient in using Bloomberg terminal and strong PowerPoint skills.
• Basic Excel VBA knowledge; programming experience in Python, SQL, VBA, C/C++, R, MATLAB, or visualization tools such as Power BI is an advantage.
• Strong communication and presentation capability; good command of written and spoken English.
• Ability to multi-task, work under pressure and meet tight deadlines.