About KPMG in India

KPMG entities in India are skilled 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.

* Experience in model development or validation for Market risk models (FRTB,
VaR, SVaR, RNIV, P2A) or Pricing models. Documenting all work performed in a
clear, concise, and re-performable manner. Tracking and closing model-related
findings.




* Proven experience in Market risk, FRTB risk modeling or model validation.
* Models – Value at Risk, Counterparty Risk Exposure models, FRTB (IMA),
Pricing of plain vanilla and exotic derivatives, XVA, Stress Test Models,
etc.
* Produce high quality model validation reports, with a particular focus on
noting limitations, weaknesses, and assumptions.
* Providing subject matter expertise on models and model risk to teams
globally.
* Proven experience in model development or validation across derivative
pricing and valuation models.
* Strong understanding of regulations and guidelines like SR 11-7 or other
equivalent guidelines for model risk management.
* Review outcome, impact, or benchmark analysis, or develop/ validate a
benchmark model (as applicable).
* Assess model risk, perform model robustness analysis, and identify and
evaluate model limitations.
* Strong knowledge of regulatory expectations, model risk governanc

📌 Manager - Market Risk (Mumbai)
🏢 KPMG India
📍 Mumbai