Senior - IRRBB, CSRBB & Liquidity | MI
Senior Consultant – IRRBB, CSRBB & Liquidity Risk| Milan The chance to build a better future is right in front of you Do Work That Matters - Your role and responsibilities Do you want to pursue a profession that is truly meaningful and impactful? At KPMG, you will have the opportunity to help clients, the company and colleagues address and solve the most current and complex challenges. KPMG Advisory offers consulting services to companies to assist them in business model transformation, process improvement and digitisation, risk analysis and management, and support in extraordinary finance transactions. When you join the Financial Risk team in Milan, you are going to work on IRRBB, CSRBB & Liquidity Risk projects for top-tier clients in the Financial Services sector. Specifically, you will be tasked with:
- identification, measurement and monitoring of liquidity risk, interest rate risk of banking book and credit spread risk ok banking book;
- development and validation of behavioral models (Non-Maturity Deposits NMD, prepayments, line draws, etc.);
- modeling of banking products for EVE and NII estimation;
- calculation and analysis of key liquidity short-term (e.g., LCR) and medium/long-term (e.g., NSFR) indicators;
- application/calibration of stress scenarios for interest rate, credit spread and liquidity risk also from a climate & environmental risk perspect
- identification, measurement and monitoring of liquidity risk, interest rate risk of banking book and credit spread risk ok banking book;
- development and validation of behavioral models (Non-Maturity Deposits NMD, prepayments, line draws, etc.);
- modeling of banking products for EVE and NII estimation;
- calculation and analysis of key liquidity short-term (e.g., LCR) and medium/long-term (e.g., NSFR) indicators;
- application/calibration of stress scenarios for interest rate, credit spread and liquidity risk also from a climate & environmental risk perspect