Market Risk Consultant – Model Validation

About the role

KPMG India is seeking a Market Risk Consultant to join its Financial Risk Management team. The role focuses on validating, testing, and enhancing market risk models used across a range of financial products and regulatory frameworks.

Key responsibilities

• Validate market risk models such as Value at Risk, Expected Shortfall, and pricing models for equity, bond, mutual fund, and derivative products.
• Assess model methodology, conceptual soundness, and calibration against market data.
• Develop and execute tests to evaluate model assumptions, limitations, and robustness.
• Produce detailed model validation reports highlighting weaknesses, limitations, and recommendations.
• Stay current with regulatory requirements (Basel, EU, SR11‑7) and ensure models comply with relevant guidelines.
• Document validation processes, findings, and recommendations 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, model validation or development within the financial services industry.
• Strong analytical abilities and familiarity with statistical and quantitative techniques.
• Understanding of financial instruments, market risk, and regulatory frameworks.

Required skills

• Python
• R
• SAS