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KPMG India

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3.5

based on 5.5k Reviews

1041 KPMG India Jobs

Risk Advisory Market Risk Manager

KPMG India

3.5

based on 5.5k Reviews

4-6 years

Mumbai

1 vacancy

Risk Advisory Market Risk Manager

KPMG India

posted 3mon ago

Job Role Insights

Flexible timing

Key skills for the job

Supervision SQL Clinical SAS Programming Microsoft Power BI Risk Management Market Risk

+ 2 more

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

Read full job description

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