Consultant - Market Risk

Job Description

About KPMG in India

KPMG entities in India are professional services firm(s). These Indian member firms are affiliated with KPMG International Limited. KPMG was established in India in August 1993. Our professionals leverage the global network of firms, and are conversant with local laws, regulations, markets and competition. KPMG has offices across India in Ahmedabad, Bengaluru, Chandigarh, Chennai, Gurugram, Jaipur, Hyderabad, Jaipur, Kochi, Kolkata, Mumbai, Noida, Pune, Vadodara and Vijayawada.

KPMG entities in India offer services to national and international clients in India across sectors. We strive to provide rapid, performance-based, industry-focused and technology-enabled services, which reflect a shared knowledge of global and local industries and our experience of the Indian business environment.

Roles And Responsibilities

• Proven experience in market risk, risk modeling or model validation. Assess the model's conceptual soundness and methodology. Develop tests to assess the model methodology and assumptions. Market Risk Models – Value at Risk, Expected Shortfall, Pricing of plain vanilla and exotic derivatives, Pricing of Credit derivatives, FRTB (SA & IMA), Counterparty Risk Exposure models, FVA, PVA, IPV, Stress Test Models - CCAR etc.
• Reviewed pricing models based on simulations or path dependent models. Assessed calibration of these models with market data.
• Produce high quality model validation reports, with a particular focus on noting limitations, weaknesses, and assumptions.
• Strong understanding of regulations and guidelines like SR 11-7 or other equivalent guidelines for model risk management.
• Perform independent testing to check robustness of the model.
• Document validation processes, findings, and recommendations in detailed reports.
• Understanding of financial instruments and market risk.
• Detail-oriented with strong problem-solving skills and a proactive approach to challenges.

Qualifications

Equal employment opportunity information

KPMG India has a policy of providing equal opportunity for all applicants and employees regardless of their color, caste, religion, age, sex / gender, national origin, citizenship, sexual orientation, gender identity or expression, disability or other legally protected status. KPMG India values diversity and we request you to submit the details below to support us in our endeavor for diversity. Providing the below information is voluntary and refusal to submit such information will not be prejudicial to you.

Qualifications

PGDM, CA

Skills Required

Sas, Ipv, Value At Risk, Python