Consultant/Assistant Manager - Market Risk

About KPMG India

KPMG India is a network of professional services firms affiliated with KPMG International Limited, established in August 1993. With offices across multiple Indian cities, including Bangalore, KPMG provides services to both national and international clients spanning various industries, offering technology-enabled, industry-focused solutions grounded in deep local and global knowledge.

Role Overview

The Market Risk Consultant/Assistant Manager will apply extensive expertise in market risk modeling, validation, and quantitative analysis within financial risk management. This role involves evaluating risk models such as Value at Risk, Expected Shortfall, derivative pricing models, and stress test frameworks, ensuring regulatory compliance and robust model performance.

Key Responsibilities

• Evaluate and validate market risk models, including Value at Risk (VaR), Expected Shortfall, pricing of vanilla and exotic derivatives across equities, bonds, mutual funds, credit derivatives, and counterparty exposure frameworks such as FRTB and stress testing models.
• Assess Interest Rate Risk in the Banking Book (IRRBB) focusing on Economic Value of Equity (EVE) and Net Interest Income (NII), as well as liquidity risk modeling approaches.
• Review pricing models which utilize simulation or path-dependent methodologies, ensuring proper calibration against market data.
• Prepare comprehensive model validation reports highlighting limitations, assumptions, and potential weaknesses.
• Maintain strong awareness of relevant regulations including Basel accords, EU standards, and SR 11-7 guidance for market/model risk management.
• Conduct independent robustness testing of models and document validation outcomes with recommendations.
• Understand various financial instruments and their associated market risks with keen attention to detail and problem-solving ability.

Educational and Professional Qualifications

• Bachelor’s or Master’s degree in Mathematics, Statistics, Economics, Finance, Physics, or a closely related discipline.
• Advanced certifications such as CFA, FRM, or CQF are advantageous.
• Significant prior experience in model validation or quantitative finance roles within financial services.
• Strong analytical capabilities and proficiency in statistical and programming tools such as Python, R, or SAS.

Equal Employment Opportunity

KPMG India is committed to providing equal opportunities for all applicants and employees regardless of color, caste, religion, age, gender, nationality, sexual orientation, disability, or any legally protected status. Submission of diversity data is voluntary and will not affect employment consideration.