Business Analyst -Counterparty Credit Risk

About KPMG 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.

About the Role

counterparty credit risk stress testing

Key Responsibilities

• Stress Testing & Scenario Design

• Design, calibrate, and execute

  macro and idiosyncratic stress scenarios

  for CCR across different asset classes (Rates, FX, Credit, Equities, Commodities).
• Translate market shocks into

  exposure metrics

  (EAD, PFE, EPE) and

  valuation adjustments

  (CVA/DVA/FVA).
• Incorporate

  netting, collateral, margining

  , rehypothecation and

  CSA terms

  into stress outcomes.

• Modeling & Analytics

• Build/maintain simulation frameworks (e.g.,

  Monte Carlo

  , exposure profiles, path-dependent features) to estimate stressed exposures.
• Assess

  wrong-way risk (WWR)

  , concentration risk, and procyclicality under severe but plausible scenarios.
• Support

  SA-CCR

  calculations and reconcile stress results with capital measures (e.g.,

  CVA capital

  ,

  Default risk charge

  ).

• Regulatory & Governance

• Contribute to

  ICAAP

  ,

  CCAR/DFAST

  (if applicable), and

  EBA/PRA

  stress testing deliverables with robust documentation.
• Ensure model and process

  validation

  ,

  controls

  , and

  audit readiness

  ; respond to internal/external

  review findings

  .
• Maintain compliance with

  Basel III/IV

  ,

  RBI

  guidelines (where applicable), and internal

  risk policies

  .

• Data, Infrastructure, and Reporting

• Partner with Risk, Finance, Quant, Technology, and Front Office to source data, reconcile

  trade/market data

  , and improve data quality.
• Automate

  pipelines and dashboards

  for stress metrics and management reporting; develop clear

  board-level narratives

  .
• Produce timely

  MI reports

  , heatmaps, and drill-downs by

  counterparty, sector, product, and tenor

  .

• Stakeholder Engagement

• Present stress testing results to senior stakeholders; recommend

  risk mitigation

  (hedging, collateral optimization, limits).
• Support

  limit frameworks

  (PFE/CVA limits),

  risk appetite calibration

  , and

  contingency playbooks

  for stressed conditions.

Qualifications

• Education:

  Bachelor’s/Master’s in Finance, Economics, Mathematics, Statistics, Engineering, or related quantitative discipline.

• Experience:Analyst/Associate:

  2–5 years in CCR, risk modeling, stress testing, or quantitative analytics.
• 6–10+ years with demonstrated leadership in CCR stress testing and regulatory delivery.

• Technical Skills:

  Hands-on with

  Python/R/SQL

  ; strong

  Excel/VBA

  ; familiarity with

  SAS

  /

  Matlab

  a plus.
• Experience with

  risk engines

  or pricing libraries (e.g., for exposure simulation, CVA).
• Proficient in

  derivatives pricing concepts

  , CSA terms, netting sets, and collateral mechanics.

• Risk & Regulatory Knowledge:

  Solid understanding of

  Basel

  frameworks,

  SA-CCR

  ,

  ICAAP

  ; exposure to

  CCAR/EBA/PRA

  stress testing desirable.
• Knowledge of

  PFE/EPE

  ,

  CVA/DVA/FVA

  ,

  WWR

  , and

  concentration risk

  .

• Soft Skills:

  Strong analytical thinking, structured problem-solving, and attention to detail.
• Clear written and verbal communication; ability to present to senior management and regulators.
• Collaboration across

  Risk/FO/Quant/Tech

  ; project management in time-pressured environments.

Good communication skills, analytical and presentation skills are mandatory for the above skill set.

If interested please send in your Cvs to anamikagandhi@kpmg.com.

• Looking for selected candidates to join within 30 to 45 days or an immediate joiner.

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