02 ott - Milano
Kpmg
OverviewIn this role you help clients in the financial sector strengthen liquidity, interest rate, and credit spread risk management.
You will join the Milan Financial Risk team to work on IRRBB, CSRBB and Liquidity Risk projects for leading banks, translating complex risk concepts into actionable models and analyses.
You will build and validate behavioral models, estimate EVE/NII, and assess short- and long-term liquidity indicators, contributing to resilient, data-driven decision-making.
This opportunity pairs technical challenge with an inclusive, development-focused culture and hybrid work.
Retribuzione / Benefitshybrid work arrangements
advanced training and development programs
international mindset and innovative projects
focus on mental and physical well-being
inclusive work environment
equal opportunity employer
ResponsabilitàIdentify, measure and monitor liquidity risk and banking-book interest rate risk (IRRBB) and credit spread risk
Develop and validate behavioral models (NMD, prepayments, line draws, etc.)
Model banking products for EVE and NII estimation
Calculate and analyze key liquidity indicators (LCR, NSFR)
Apply/calibrate stress scenarios for IRRBB, CSRBB, liquidity risk, including climate & environmental risk considerations
Requisiti fondamentali2+ years in risk management for banks, credit institutions, or top consulting firms on Liquidity Risk and/or IRRBB/CSRBB & ALM projects
Bachelor's degree in business or science
excellent English proficiency (including international exposure preferred)
proficiency with MS Office
knowledge of programming languages such as XGBoost, Python, R, Matlab, Stata is a plus
teamwork
clear communication in English
problem solving
risk management in banking
IRRBB and CSRBB
ALM
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