Consultant/AM - Market Risk

KPMG India
Mumbai, Maharashtra, India

Job Title: Market risk

Function: Financial Risk Management

OVERVIEW

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

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Roles And Responsibilities

  • Proven experience in market risk, risk modeling or model validation/ development. 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 (Equity , Bond, Mutual fund, derivatives products), Pricing of Credit derivatives, FRTB (SA & IMA), Counterparty Risk Exposure models, FVA, PVA, IPV, Stress Test Models - CCAR etc.
  • Knowledge of Interest Rate Risk in the Banking Book (IRRBB – EVE and NII perspective) and/or liquidity risk modelling approaches
  • 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 (Basel , EU, SR11-7) or other equivalent guidelines for market/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:

  • Bachelor’s/Master’s degree in mathematics, Statistics, Economics, Finance, Physics or a related field. Advanced degrees or certifications (e.g., CFA, FRM, CQF) are a plus.
  • Proven experience in model validation, quantitative analysis, or a similar role within the financial services industry.
  • Strong analytical skills and proficiency in statistical software/tools (e.g., Python, R, SAS).

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.

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Questions about this job

How do I apply for the Consultant/AM - Market Risk job at KPMG India?

Use the apply link on this page: you apply directly with KPMG India on LinkedIn. Before you do, score your resume against this job description on Fitboard. It shows which skills and keywords the job asks for that your resume doesn't show, so you can fix them first.

What skills does KPMG India want for this Consultant/AM - Market Risk role?

The job description asks for market risk, risk modeling, model validation, Value at Risk, Expected Shortfall, Pricing of plain vanilla and exotic derivatives, Pricing of Credit derivatives and FRTB. Make sure your resume shows the ones you have, in the words the job uses: applicant tracking systems look for them.

How can I get a job at KPMG India?

Apply to the KPMG India roles that match your experience, and tailor your resume to each job description: for this role that means showing market risk, risk modeling, model validation. A resume that matches the job's own keywords is more likely to get past screening. Fitboard scores your resume against this exact job for free.

Is this Consultant/AM - Market Risk job remote or onsite?

This is based in Mumbai, Maharashtra.

Is it free to apply? Does Fitboard charge anything?

Applying is free: you apply directly with KPMG India, and this job page and its apply link cost nothing. Checking your resume against this job is free too, with 3 free scans when you sign in and no credit card needed.

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