Market Risk Consultant – Model Validation

About the role

KPMG India is seeking an experienced Market Risk Consultant to join its Financial Risk Management team. You will be responsible for validating and enhancing market risk models, ensuring they meet regulatory standards and business needs.

Key responsibilities

• Validate market risk models such as VaR, Expected Shortfall, and pricing models for plain‑vanilla and exotic derivatives.
• Assess model methodology, assumptions, and calibration against market data.
• Develop and execute tests to evaluate model robustness, including stress‑test and CCAR scenarios.
• Produce detailed validation reports highlighting limitations, weaknesses, and recommendations.
• Stay current with Basel, EU, SR11‑7 and other regulatory guidelines for market and model risk.
• Document validation processes and findings in comprehensive reports.

Required profile

• Bachelor’s or Master’s degree in Mathematics, Statistics, Economics, Finance, Physics or a related field.
• Proven experience in market risk, risk modeling, or model validation within the financial services industry.
• Strong analytical and problem‑solving abilities with attention to detail.
• Understanding of financial instruments, market risk, and regulatory frameworks.

Required skills

• Python
• R
• SAS