KPMG Quant Market Risk Advisory Interview: Help Needed!

Y

YolandaF

Joined
9/21/13
Messages
5
Points
13
Dear Quant Folks,

Could anyone provide some suggestions for the possible nature and specific work they are doing? The job description mentions business risk assessment, reviewing/validating/developing risk models, and presenting audit reports to banks.

What areas of technical or soft skill questions would you recommend me to prepare for this role?

Thank you so much!

Have a nice holiday season,
YolandaF
 
I work in this area in Australia, out of the Sydney office. Tools have included matlab, R, vba, excel, some c# / c++ knowledge for placements within banks is handy, some guys use some other statistical packages for modelling in the credit risk division. The job description seems pretty accurate.... you spend a lot of time doing exactly that. Note that I have an IT background in my previous life, so I tended to be steered towards jobs with an IT / quantitative slant, as thats where my strengths lie. Liquidity modelling, targeting Basel3 etc, stress testing, valuing unusual derivatives, all these sorts of things come up.
As a consultancy, you're going to need to be big on people skills, as a great deal of time will be spent in front of clients, discussing their needs and often vague requirements, a bit of too and fro when it comes to presenting your findings as you clear up certain details or outstanding questions etc.
Be well groomed. Own a suit, and some well polished shoes.
 
@euroazn - Australia's regulatory body is apparently even more conservative than Basel, and with more aggressive deadlines... its liquidity modelling, capturing strict capital requirements, and lots and lots of reporting required... All the stuff that makes me a hit with girls at parties! :rolleyes:
 
For everyone interested, to continue:

When you're working for the consultancies, (I believe) its much more common to be validating a model then creating an entirely new model from scratch... the banks might have an existing model or methodology for measuring risk exposures, for instance, and your job in a Big4 such as KPMG is more likely to be investigating the bank's model, comparing it to existing or similar products for consistency and validity (are they using fair and valid assumptions, are they following industry practices and generally accepted theory, for example).

This is not always the case however... I've been involved with some long-term, large-scale models that were build entirely by our team, from the ground up, working towards targeting the aforementioned Basel/Australian financial regulatory body's requirements and standards. The implementation, and interpretation, and our ability to meet those requirements however, was determined by us in co-ordination and co-operation with our various clients.

A lot of time, especially around financial year end, will be working closely with Audit teams to value products such as remuneration or employee benefits (options that vest upon certain performance by the client company etc), as these types of remuneration must be valued and presented in EoFY reports to the market for listed companies (for example).
 
@YolandaF - you don't state what level of position you would be interviewing for, nor your background. These would be useful information to anyone else who might have advice for you.
 
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