>> OVERVIEW

KPMG is a global network of professional firms providing Audit, Tax and Advisory services. We operate in 156 countries and have 152,000 people working in member firms around the world.

KPMG in India, a professional services firm, is the Indian member firm of KPMG International and was established in September 1993. Our professionals leverage the global network of firms, providing detailed knowledge of local laws, regulations, markets and competition. KPMG in India provide services to over 4,500 international and national clients, in India.

KPMG has offices across India in Delhi, Chandigarh, Ahmedabad, Mumbai, Pune, Chennai, Bangalore, Kochi, Hyderabad and Kolkata. The Indian firm has access to more than 7,000 Indian and expatriate professionals, many of whom are internationally trained. 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.

KPMG Advisory professionals provide advice and assistance to enable companies, intermediaries and public sector bodies to mitigate risk, improve performance, and create value. KPMG firms provide a wide range of Risk Consulting, Management Consulting and Transactions & Restructuring services that can help clients respond to immediate needs as well as put in place the strategies for the longer term.

With increasing regulatory requirements, the need for greater transparency in operations, and disclosure norms, stakeholders require assurance beyond the traditional critique of numbers. Hence assurance is being increasingly required on industry issues, business risks and key business processes. The Governance, Risk & Compliance Services practice assists companies and public sector bodies to mitigate risk, improve performance and create value.

We assist our clients to effectively manage business and process risks by providing a full spectrum of corporate governance, risk management, and Compliance Services. These services are tailored to meet client’s individual needs, and provide effective support to management in meeting the challenges and opportunities presented by today's complex business environment.

Our professionals provide the experience to help companies stay on track and deal with risks that could unhinge their business survival. Our services enable clients to effectively co-ordinate their key growth, quality and operational challenges and working in partnership with us, clients have the benefits of KPMG's experienced, objective, and industry-grounded viewpoints.

Position Title - Consultant / Senior Consultant – Market Risk Model Validation- FRTB

Location - Mumbai/Gurgaon/Bangalore

Role Overview

We are seeking an experienced quantitative professional to join KPMG’s Financial Risk Management (FRM) team. The role will focus on independent validation and review of market risk models for global financial institutions, helping clients ensure that their models are conceptually sound, appropriately implemented,



and aligned with evolving regulatory requirements and industry best practices.

The successful candidate will combine strong quantitative and market risk expertise with the ability to independently challenge model methodologies, communicate technical findings effectively, and deliver high-quality outcomes in a client-facing consulting environment.

Key Responsibilities

Model Validation & Independent Challenge

- Execute end-to-end independent validation of quantitative market risk models, covering:
- Conceptual soundness and underlying mathematical/statistical methodology
- Model assumptions and limitations
- Data quality and integrity
- Model implementation and usage
- Sensitivity and scenario analysis
- Backtesting, benchmarking and performance monitoring
- Assess models against applicable regulatory expectations, including SR 11-7 / OCC 2011-12, regional regulatory requirements, and industry best practices.
- Identify model weaknesses and limitations, assess their potential impact, and provide clear recommendations for remediation.
- Perform independent quantitative analysis and benchmarking using Python/R and other analytical tools.

Market Risk & Regulatory Expertise

- Apply in-depth understanding of market risk concepts and methodologies, including VaR, Expected Shortfall (ES), Risks Not in VaR (RNIV) and related risk measures.
- Review and challenge models and methodologies associated with Basel 2.5 and FRTB, including Standardised Approach (SA) and Internal Models Approach (IMA).
- Evaluate methodologies across relevant financial instruments, including derivatives, fixed income, equities, credit products and structured products.
- Maintain awareness of evolving global and regional market risk regulatory requirements and assess their implications for clients' models and model risk frameworks.

Engagement & Project Delivery

- Take ownership of assigned workstreams and drive high-quality, timely delivery of model validation reports, benchmarking studies and broader quantitative risk advisory deliverables.
- Develop clear, technically robust validation documentation that articulates model strengths, weaknesses, limitations and recommendations.
- Effectively manage deliverables and priorities across multiple engagements in a fast-paced consulting environment.

Stakeholder Management & Technical Challenge

- Engage with model developers, model owners, risk teams, business stakeholders and senior management to understand and challenge model methodologies and assumptions.
- Articulate complex quantitative findings clearly and participate in constructive technical discussions and challenge sessions.




- Translate sophisticated quantitative concepts and validation findings into clear and actionable messages for both technical and non-technical stakeholders.

Regulatory & Audit Support

- Support clients during regulatory examinations, supervisory reviews, and internal/external audit engagements relating to models, model validation and model risk governance.
- Assist in responding to regulatory or audit observations and assessing remediation actions where required.

Industry & Market Awareness

- Stay abreast of changes in market risk regulation, quantitative methodologies, financial markets and industry practices.
- Contribute to the development and enhancement of KPMG's model validation methodologies, tools and accelerators.
- Support broader FRM initiatives, thought leadership and knowledge sharing within the practice.

Qualifications & Experience

Essential Education

- Master's degree or Ph.D. in a quantitative discipline such as Quantitative Finance, Mathematics, Statistics, Physics, Econometrics, Computer Science, Engineering, or a related field.

Experience
- 3+ years of relevant experience in model validation, quantitative risk, quantitative research or model development within financial services, consulting or a related setting.
- Demonstrable experience in market risk models and quantitative methodologies.

Market Risk Knowledge
- Strong understanding of market risk concepts including VaR, ES, RNIV, stress testing and backtesting.
- Good understanding of Basel 2.5 and FRTB SA / IMA.
- Understanding of pricing and risk characteristics of financial products and derivatives.

Quantitative Skills
- Strong foundation in quantitative finance, statistical modelling, econometrics and numerical methods.
- Ability to critically assess modelling methodologies, key assumptions, limitations and model performance.

Programming
- Strong hands-on proficiency in Python for quantitative analysis, data manipulation, statistical testing and model benchmarking.

Communication
- Strong verbal and written communication skills, with the ability to explain complex quantitative concepts and validation findings to both technical and non-technical stakeholders.

Preferred / Differentiating Skills
- Hands-on experience with Python and/or R for quantitative modelling and validation.
- Knowledge of machine learning, deep learning, Explainable AI (XAI) or emerging approaches to model risk assessment.
- Strong understanding of complex financial instruments, including derivatives, fixed income products, equity/credit derivatives and structured products.
- Professional qualifications such as FRM, PRM, CFA or CQF, or active pursuit of such qualifications.
- Previous experience in a consulting or client-facing environment.
- Ability to operate effectively in a fast-paced environment, demonstrating intellectual curiosity, adaptability, attention to detail and strong collaboration skills.

The opportunity is now! If you are interested in being part of a dynamic team, serving clients and reaching your full potential – KPMG Advisory Services is for you!

📌 Market Risk - FRTB (Model Validation) - Consultant /Assistant Manager (Bengaluru)
🏢 KPMG India
📍 Bengaluru