Market Risk Specialist

1 day ago


Mumbai, Maharashtra, India KPMG India Full time

About KPMG INDIA

KPMG entities in India are professional services firms. 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 various locations.

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.

Market Risk:

Key Responsibilities:

  • Assess the conceptual soundness and methodology of risk models, including Value at Risk, Counterparty Risk Exposure models, and Pricing of derivatives.
  • Produce high-quality model validation reports, noting limitations, weaknesses, and assumptions.
  • Review input data, model assumptions, and parameters, as well as qualitative or expert adjustments.
  • Assess model risk, perform model robustness analysis, and identify and evaluate model limitations.
  • Develop and validate benchmark models, as applicable.
  • Programming skills in SAS, R, or Python are required, with expertise in at least one of these languages an added advantage.

Requirements:

  • Strong quantitative and analytical skills with attention to detail and accuracy.
  • A power user of Excel spreadsheet and PowerPoint, with acumen and demonstrated knowledge to use visualization tools.
  • Investment banking product knowledge and regulatory development around IB.
  • Certifications in CFA/ FRM are desirable.

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.



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