Assistant Manager - Market Risk

Description About KPMG in India KPMG entities in India are professional services firm(s). These Indian member firms are affiliated with KPMG International Limited. KPMG was established in India in August 1993. Our professionals leverage the global network of firms, and are conversant with local laws, regulations, markets and competition. KPMG has offices across India in Ahmedabad, Bengaluru, Chandigarh, Chennai, Gurugram, Jaipur, Hyderabad, Jaipur, Kochi, Kolkata, Mumbai, Noida, Pune, Vadodara and Vijayawada. KPMG entities in India offer services to national and international clients in India across sectors. We strive to provide rapid, performance-based, industry-focused and technology-enabled services, which reflect a shared knowledge of global and local industries and our experience of the Indian business environment. • Development or validation of liquidity/market risk models on-premise, including methodology, implementation, model review, business analyst services, software development, testing, releasing, and remediation of findings. • Model development and/or validation or calibration for risk models. • Consulting on risk processes and risk control/management in banks. • Regulatory services based on EU and national regulation, e.g., CRR, EBA Guidelines, MaRisk, ECB Guide on Internal Models, including advisory services on calculation of regulatory capital requirements. Skills Required: • Knowledge of Interest Rate Risk in the Banking Book (IRRBB – EVE and NII perspective) and/or liquidity risk modelling approaches. • Experience in risk model development and validation process, including model specification, testing, and model review. • Ideally: knowledge of regulatory requirements around market and liquidity risk (Basel, preferably EU regulation). • Knowledge of market standard pricing and market risk models for linear products, derivatives, SFTs, including typical market risk measures and analysis tools, e.g., VaR/Expected Shortfall, sensitivities-based analysis, market risk stress testing, etc. Equal employment opportunity information KPMG India has a policy of providing equal opportunity for all applicants and employees regardless of their color, caste, religion, age, sex/gender, national origin, citizenship, sexual orientation, gender identity or expression, disability or other legally protected status. KPMG India values diversity and we request you to submit the details below to support us in our endeavor for diversity. Providing the below information is voluntary and refusal to submit such information will not be prejudicial to you. | Qualifications Post Graduation in Management /Finance/ Economics, or equivalent such as a Chartered Accountant CFA, FRM or equivalent or as per local market conditions.