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1002 KPMG India Jobs

Risk Advisory Market Risk Manager

4-6 years

Mumbai

1 vacancy

Risk Advisory Market Risk Manager

KPMG India

posted 3mon ago

Job Description

  • Proven experience in market risk, risk modeling or model validation. Assess the models 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 essential. Fair understanding of SQL .

Employment Type: Full Time, Permanent

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Q1. While working late at night, you figure out that the data available with you has something missing. You've been working on the data for the ... read more
Q2. Without the help of internet help me calculate the no. of white cars sold in Mumbai every year. Not the method as to how you calculate the f ... read more
Q3. "A woman came to the market to sell eggs. The first customer bought half of her eggs and a half of an egg. The second customer bought half o ... read more
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What people at KPMG India are saying

What KPMG India employees are saying about work life

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66%
89%
50%
93%
Flexible timing
Monday to Friday
No travel
Day Shift
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KPMG India Benefits

Health Insurance
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Soft Skill Training
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