Lead development and validation of market risk and pricing models (FRTB, VaR, SVaR, RNIV, P2A, XVA). Produce model validation reports, assess model risk and robustness, document findings, advise global teams on model risk governance and regulatory expectations (e.g., SR 11-7). Require programming in Python, SQL familiarity, MS Office and LaTeX proficiency, 3+ years' experience, and relevant quantitative/finance qualifications (MBA Finance, Statistics/Engineering degree, CFA/FRM/CQF).
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.
- Experience in model development or validation for Market risk models (FRTB, VaR, SVaR, RNIV, P2A) or Pricing models. Documenting all work performed in a clear, concise, and re-performable manner. Tracking and closing model-related findings.
- Proven experience in Market risk, FRTB risk modeling or model validation.
- Models – Value at Risk, Counterparty Risk Exposure models, FRTB (IMA), Pricing of plain vanilla and exotic derivatives, XVA, Stress Test Models, etc.
- Produce high quality model validation reports, with a particular focus on noting limitations, weaknesses, and assumptions.
- Providing subject matter expertise on models and model risk to teams globally.
- Proven experience in model development or validation across derivative pricing and valuation models.
- Strong understanding of regulations and guidelines like SR 11-7 or other equivalent guidelines for model risk management.
- 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.
- Strong knowledge of regulatory expectations, model risk governance, and financial risk management practices.
- Programming skills like: Python and fair understanding of SQL.
- Proficient in Microsoft Word, Excel, and PowerPoint and Latex
- 3+ yrs of experience.
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
- MBA Finance, Bachelor/Master in Statistics, Engineering/Technology
- CFA/FRM/CQF certification
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