Consultant / Assistant Manager - Counterparty Credit Risk

About KPMG India

KPMG India is a member of KPMG International Limited, offering professional services since 1993. With offices across major Indian cities, KPMG delivers industry-focused, technology-enabled services that combine global expertise with local market knowledge. The firm caters to both Indian and international clients across diverse sectors, emphasizing rapid performance and deep industry understanding.

Role Overview

The Counterparty Credit Risk (CCR) Consultant / Assistant Manager position in Mumbai requires a motivated professional to join the Risk Management team. The role is focused on measuring, monitoring, and analyzing counterparty credit risk exposures derived from derivatives, securities financing transactions, and other trading activities. This position demands strong quantitative abilities and familiarity with financial markets, along with collaboration across front-office, risk, and regulatory teams.

Key Responsibilities

• Monitor and evaluate counterparty exposures involving OTC derivatives, FX, repo, securities lending, and similar traded instruments.
• Conduct daily exposure computations, limit surveillance, stress testing, and risk reporting activities.
• Analyze critical CCR metrics such as Current Exposure (CE), Potential Future Exposure (PFE), Expected Positive Exposure (EPE), Credit Valuation Adjustment (CVA), and Wrong-Way Risk (WWR).
• Review and monitor counterparty limits to detect any breaches or excesses.
• Support the onboarding process for counterparties, ongoing credit evaluations, and review of associated legal documents including ISDA, CSA, and GMRA agreements.
• Perform stress testing and scenario analysis to determine counterparty risk under adverse market conditions.
• Collaborate with Trading, Market Risk, Credit Risk, Finance, and Operations teams to analyze exposure fluctuations and risk concentrations.
• Prepare presentations and comprehensive risk reports for senior management.
• Assist with regulatory projects related to Basel III/IV, SA-CCR, and other compliance requirements.
• Contribute to model validation, methodology refinement, and overall enhancements of risk frameworks.

Qualifications & Experience

• Bachelor's or Master's degree in Finance, Economics, Mathematics, Engineering, Statistics, or a related quantitative discipline.
• 5 to 8 years' relevant experience in counterparty credit risk, credit risk, market risk, or risk analytics within investment banking or financial services.
• Deep understanding of OTC derivatives, fixed income, FX products, securities financing transactions, and margining/collateral procedures.
• Good knowledge of SA-CCR, Basel regulations, and exposure measurement techniques.
• Exposure to risk systems and analytics commonly employed in investment banking.

Technical Skills

• Advanced proficiency with Excel and PowerPoint.
• Working knowledge of SQL; familiarity with programming languages such as Python, R, or VBA is advantageous.
• Experience with risk management platforms like Murex, Calypso, Athena, Imagine, or equivalents.
• Capabilities in handling large datasets and performing detailed exposure and risk analyses.

Preferred Credentials

• Certifications such as FRM, CFA, PRM or equivalent are highly valued.
• Prior experience collaborating with global risk teams and front-office stakeholders.
• Understanding of CCR capital calculation and regulatory capital frameworks.

Core Competencies

• Superior analytical and problem-solving aptitude.
• Effective stakeholder management skills.
• Proficiency in risk identification and escalation procedures.
• Strong attention to detail.
• Excellent communication and presentation abilities.
• Comfortable operating in a fast-paced trading environment.
• Demonstrates ownership and accountability in work.

Success Indicators

• Consistent accuracy and punctuality in risk reporting.
• Proactive exposure and limit monitoring.
• Timely escalation of emerging risk factors.
• Strong collaboration with trading desks, credit officers, and regulatory personnel.
• Ongoing advancement of CCR methodologies and reporting standards.