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 .
Top KPMG India Market Risk Manager Interview Questions
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