Risk Advisory Market Risk Executive

2 days ago

Mumbai Maharashtra, India KPMG Full time

**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. _**

Model Validation, Model Development (Market Risk):

- Proven experience in market risk, risk modeling or model validation. Assess the model's conceptual soundness and methodology. Models - Value at Risk, Counterparty Risk Exposure models, Pricing of plain vanilla and exotic derivatives, FVA, PVA, IPV, Pricing of Credit derivatives, FRTB (SA & IMA), Stress Test Models - CCAR etc. Produce high quality model validation reports, with a particular focus on noting limitations, weaknesses, and assumptions.
- Strong understanding of regulations and guidelines like SR 11-7 or other equivalent guidelines for model risk management.
- Assess the model’s conceptual soundness and methodology.
- Check appropriateness of input data, the model assumptions and parameters, the accuracy of the model calibration, as well as qualitative or expert adjustments etc.
- Review outcome, impact, or benchmark analysis, or develop/ validate a benchmark model (as applicable)
- Assess model risk, perform model robustness analysis, and identify and evaluate model limitations.
- Programming skills like: SAS, R, Python. Expertise in at least one of these programming languages would be an added advantage. Fair understanding of SQL.

Proficient in Microsoft Word, Excel, Visio, and PowerPoint and Latex

**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.**

QUALIFICATIONS

FRM certification, MBA Finance, M. Tech, B. Tech

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