Market Risk Manager

You will be a part of KPMG India, a professional services firm affiliated with KPMG International Limited, with offices in various cities across the country. Your role will involve working on Model Validation and Model Development related to Market Risk. You should have proven experience in market risk, risk modeling, or model validation, and be familiar with assessing the conceptual soundness and methodology of models such as Value at Risk, Counterparty Risk Exposure models, Pricing of derivatives, and Stress Test Models. Your responsibilities will include producing high-quality model validation reports, understanding regulations and guidelines for model risk management, and assessing the appropriateness of input data, model assumptions, and parameters. You will also be required to review outcomes, perform benchmark analysis, and identify model limitations. Proficiency in programming languages like SAS, R, Python, and a fair understanding of SQL, along with proficiency in Microsoft Word, Excel, Visio, PowerPoint, and Latex will be advantageous. As part of KPMG India, you will have the opportunity to work with national and international clients across various sectors, providing industry-focused and technology-enabled services based on global and local industry knowledge and experience of the Indian business environment.,