Market Risk Consultant / Associate Manager

About the role

We are seeking a Market Risk Consultant/Associate Manager to join KPMG’s Financial Risk Management team in India. The role involves validating and developing market risk models, ensuring they meet regulatory standards and support our clients’ risk management strategies.

Key responsibilities

• Validate and assess market risk models such as VaR, Expected Shortfall, and pricing models for equity, bond, and credit derivatives.
• Develop and execute tests to evaluate model methodology, assumptions, and calibration against market data.
• Produce detailed model validation reports highlighting limitations, weaknesses, and recommendations.
• Perform independent robustness testing and document findings in compliance with Basel, EU, and SR11‑7 guidelines.
• Support stress‑testing frameworks (e.g., CCAR) and liquidity/interest‑rate risk modeling.

Required profile

• Bachelor’s or Master’s degree in Mathematics, Statistics, Economics, Finance, Physics or related field.
• Proven experience in market risk, model validation or quantitative analysis within financial services.
• Strong analytical mindset with attention to detail and problem‑solving abilities.

Required skills

• Python
• R
• SAS
• Statistical software/tools for quantitative analysis
• Model validation techniques