Market Risk Manager – Model Validation

About the role

KPMG India is seeking an experienced Market Risk professional to lead model validation and risk modeling activities. The role focuses on assessing the conceptual soundness of market risk models, developing testing frameworks, and ensuring compliance with regulatory standards.

Key responsibilities

• Validate market risk models such as VaR, Expected Shortfall, and pricing models for plain‑vanilla and exotic derivatives.
• Develop and execute tests to assess model methodology, assumptions, and calibration against market data.
• Produce high‑quality validation reports highlighting limitations, weaknesses, and assumptions.
• Review pricing models based on simulations or path‑dependent approaches.
• Document validation processes, findings, and recommendations.
• Stay current with regulations (Basel, EU, SR11‑7) and ensure models meet regulatory expectations.

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 abilities and a detail‑oriented, problem‑solving mindset.
• Understanding of financial instruments, market risk, and regulatory frameworks.

Required skills

• Python
• R
• SAS