KPMG

Risk Advisory Market Risk Assistant Manager

Posted On

April 11, 2025

Location

Mumbai, Maharashtra

Experience Level

KI Professional

Job Type

Full Time

Apply By

May 30, 2025

Job Description

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.

️ Role & Responsibilities

Understanding about Traded Credit Risk regulations – Basel 3 endgame, Standardised CVA (SA-CVA), regulatory pillar 1 capital, RWA, and BA-CVA and about exposure metrics like PFE, EEPE, EPE, CVA VAR.
Understanding of concepts like PFE, EEPE and EPE is mandatory.
Candidate should have experience with the Pricing- Derivatives/ Product Control and hedging models. This can span across asset class like Interest rate, FX, Equity, Credit, IR etc.
Skills related to techniques employed in counterparty credit risk IMM models – monte-carlo simulation, stochastic modelling (e.g., Hull-White model, Garman Kohlhagen model, Heston Model etc.), back-testing techniques, and monitoring models.
Understanding of Cross value adjustment (XVA) modelling – Credit value adjustment (CVA), Debit value adjustment (DVA), KVA, MVA, and FVA; wrong-way risk, collateralization and netting, and margin modelling.
Candidate should have experience in developing or validating Hull White models, SABR/ Shifted SABR models, HJM models, volatility models like Stochastic / local vol models etc.
Knowledge of internal procedures and local regulations and those of other country regulators would be an advantage.

Qualification & Must have:
Minimum 5-10 years of experience in Risk Management in particular Counterparty credit risk space
Technical skills in Python, SQL.
Experience of conducting independent model reviews.
B.Tech/MBA/MSc/PGDM or any other equivalent degrees
FRM /CFA certification

People Benefits:

Continuous learning program
Driving a culture of recognition through ‘ENCORE’ our quarterly rewards and recognition program
Comprehensive medical insurance coverage for staff and family
Expansive general and accidental coverage for staff
Executive Health checkup (Manager & above, and for staff above the age of 30)
Les Concierge desk.
Internal & Global mobility
Various other people friendly initiatives
Strong commitment to our Values such as CSR initiatives

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