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 perspective.

Skills

Come As You Are - Your skills and characteristics

This is the perfect opportunity for you if:

• you have at least 2 years of experience in the Risk Management function of banks, credit institutions or in leading consulting firms on Liquidity Risk and/or IRRBB / CSRBB & ALM projects;
• you possess a bachelor’s degree in business or science;
• possess excellent knowledge of the English language, preferably backed up by experience abroad;
• possess excellent knowledge of the office package; knowledge of programming languages such as XGBoost, Python, R, Matlab, Stata for database analysis will be considered a plus.

Your Future With Us - What you’ll find at KPMG

• An inclusive and equitable work environment that respects, encourages and values diversity.
• A challenging and dynamic environment that encourages creativity and teamwork.
• Hybrid work arrangements to promote a healthy work-life balance.
• Advanced training and development programmes to stay current.
• International mindset and innovative projects.
• Initiatives focused on mental and physical well-being.

Standard employment contract under the collective labour agreement for the commerce sector, with a gross annual salary ranging from €31,000 to €41,000. The salary is determined on the basis of objective criteria, including the candidate’s skills and experience assessed against the requirements of the role.

In accordance with applicable legislation, we do not collect or use information relating to remuneration received in current or previous employment. Our selection procedures are based on objective and gender-neutral criteria.

Together for Better – Our values and commitment

Leadership, teamwork, respect every individual, continuous learning, transparency, commitment to the community and integrity. These are the KPMG values that create an environment that encourages the sharing of ideas and knowledge, so our professionals can achieve their full potential .

As a result of our commitment to fostering an inclusive work environment, our Network has obtained ISO 30415 certification , which certifies compliance of the Diversity and Inclusion Management System, and UNI PdR 125 , which certifies gender equality. Within our Impact Plan - Our Impact Plan (kpmg.com) - you will find summarised all the actions we are taking on environmental, social and governance (ESG) issues.

Join us

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