Market Risk Consultant/Associate Manager

About the role

KPMG India is seeking an experienced professional to join its Financial Risk Management team as a Market Risk Consultant/Associate Manager. The role focuses on validating, developing, and enhancing market risk models used by the firm and its clients.

Key responsibilities

• Validate and assess market risk models such as VaR, Expected Shortfall, and pricing models for equity, bond, and derivative products.
• Develop testing frameworks to evaluate model methodology, assumptions, and calibration against market data.
• Produce detailed model validation reports highlighting limitations, weaknesses, and regulatory considerations.
• Perform independent robustness testing and document findings and recommendations.
• Stay current with Basel, EU, SR 11‑7, and other relevant regulatory guidelines.

Required profile

• Bachelor’s or Master’s degree in Mathematics, Statistics, Economics, Finance, Physics or a related discipline.
• Proven experience in market risk, risk modeling, or model validation within the financial services industry.
• Strong analytical mindset with the ability to communicate complex technical concepts clearly.

Required skills

• Python
• R
• SAS