Consultant/Assistant Manager - Market Risk

Company Overview

KPMG India is a professional services network affiliated with KPMG International Limited, operating since 1993. It leverages a global network to offer sector-specific, technology-enabled services to both national and international clients across India, with offices in major cities including Gurugram.

Role Summary

The Market Risk Consultant/Assistant Manager role involves deep expertise in market risk assessment, risk modeling, and validation techniques applied to various financial products and regulatory frameworks.

Key Responsibilities

• Utilize extensive experience in market risk, model validation, and risk modeling, including assessing conceptual design and methodologies.
• Develop and perform quantitative tests to validate model methodologies and underlying assumptions for models such as Value at Risk, Expected Shortfall, derivatives pricing including credit and equity, as well as stress test models like CCAR.
• Apply knowledge of Interest Rate Risk in the Banking Book (IRRBB) and liquidity risk modeling techniques.
• Review pricing models encompassing simulation and path-dependent models, ensuring calibration adheres to market data.
• Compose detailed, high-quality validation reports highlighting the model's limitations, weaknesses, and foundational assumptions.
• Maintain a strong understanding of market/model risk regulations, including Basel frameworks, EU regulations, and SR11-7 guidelines.
• Conduct independent robustness testing of risk models and document validation processes, findings, and recommendations comprehensively.
• Demonstrate an understanding of financial instruments and market risk dynamics alongside solution-oriented problem-solving capabilities.

Qualifications

• Educational background requires a Bachelor's or Master's degree in Mathematics, Statistics, Economics, Finance, Physics, or related disciplines.
• Advanced certifications such as CFA, FRM, or CQF are advantageous.
• Proven track record in model validation and quantitative analysis within financial services.
• Proficiency in statistical software and programming languages such as Python, R, or SAS.

Diversity and Inclusion

KPMG India is committed to equal employment opportunities regardless of color, caste, religion, gender or other legally protected characteristics. Submission of diversity information is voluntary and does not affect application outcomes.