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.

• 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, marke

📌 Assistant Manager (Mumbai)
🏢 KPMG India
📍 Mumbai