Assistant Manager - Market Risk

BSR & Co; Mumbai; On-site; INR 1,400,000 - 2,200,000; Full time

Job summary

KPMG India is seeking a market risk specialist based in Mumbai to support risk modeling, regulatory compliance, and reporting. The role requires deep understanding of VaR, SVaR, RNIV, and risk sensitivities, plus pricing methods for fixed income and derivatives.

Candidate should have 3+ years in market risk, strong programming skills in Python and SQL, and proficiency with MS Office. This on-site Mumbai role involves collaboration with risk, front office, and technology teams to ensure robust

Qualifications

• Extensive experience in Market risk with metrics like VaR, SVaR, RNIV, and sensitivities.
• Understanding of pricing methods for various asset classes including derivatives and fixed income.
• Knowledge of VaR/ES across asset classes.
• Familiarity with Basel, PRA, ECB, FED guidelines for model risk management.
• Proven ability to document review reports and close findings.
• 3+ years of experience in Market risk or related areas.
• Programming skills in Python and SQL; proficient with MS Word, Excel, PowerPoint.

Responsibilities

• Provide subject matter expertise on market risk models and frameworks.
• Analyze risk metrics and monitor regulatory compliance.
• Document findings and assist in risk reporting.
• Collaborate with front-office, risk, and technology teams to implement models.
• Support risk governance and model validation processes.

Skills

Market risk

VaR/SVaR

Regulatory knowledge

Python

SQL

MS Excel

Job description

Job Responsibilities and Qualifications

• Extensive experience in Market risk and detailed understanding of metrics like VaR, SVaR, RNIV, sensitivities etc.
• Understanding of the pricing methods for various asset classes/product types (plain vanilla and exotic derivatives, fixed income, etc).
• Understanding of the VaR/ES for various asset classes/product types (plain vanilla and exotic derivatives, fixed income, etc).
• Strong understanding of market risk regulations (Basel, PRA, ECB, FED, etc) and guidelines like SR 11-7 or other equivalent guidelines for model risk management.
• Good in documenting review reports, tracking and closing findings.
• Proven experience in Market risk or FRTB.
• Providing subject matter expertise on market risk models.
• Programming skills like: Python and fair understanding of SQL.
• Proficient in Microsoft Word, Excel, and PowerPoint.
• 3+ yrs of experience.

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.