KPMG India-Manager-Market Risk(IRC) KPMG India
KPMG India
Office Location
Full Time
Experience: 5 - 5 years required
Pay:
Salary Information not included
Type: Full Time
Location: All India
Skills: IRC, Market Risk, Credit Risk Models, model development, model validation, CCAR, Python, SAS, R, SQL, Quantitative Analysis, VaR Model, Copulas
About KPMG India
Job Description
You will be responsible for Model Validation and Model Development (Market Risk) at KPMG India. Your main tasks will include: - Having an in-depth understanding of IRC, market risk, and credit risk models. - Demonstrating proven experience in market risk model development and validation for IRC, default risk models, VaR model, Credit risk, and CCAR. - Producing high-quality model documentation and validation reports. - Understanding regulations and guidelines like SR 11-7 for model risk management. - Demonstrating knowledge of copulas and performing rigorous testing and back-testing of models. - Reviewing outcomes, impacts, or benchmark analysis, and assessing model risk and limitations. - Utilizing programming skills in Python (essential), SAS, R, and SQL. - Having expertise in at least one of these programming languages. - Demonstrating experience in model development or validation, quantitative analysis, or a similar role within the financial services industry. Qualifications required for this role include: - A Bachelor's degree in Finance, Economics, Mathematics, Statistics, Engineering, or a related field. - Advanced degrees or certifications such as CFA, FRM, CQF are considered a plus.,