Market Risk FRTB Model Validation

KPMG Assurance and Consulting Services LLP; Mumbai, Gurugram District, Bengaluru; On-site; INR 1,800,000 - 3,000,000; Full time

Job summary

KPMG India is seeking a Market Risk professional focused on FRTB for model development and validation, leveraging Python and SQL. You will validate VaR, SVaR, RNIV, XVA, and conduct end-to-end model risk assessments with strong documentation standards.

Role requires deep knowledge of financial risk management, regulatory expectations, and collaboration with global teams in a Mumbai-based environment. The position emphasizes rigorous analysis and reproducible work products.

Qualifications

• Strong experience in Market Risk and FRTB modeling or model validation/ development
• In-depth knowledge of financial risk management practices and regulatory expectations
• Proficiency in Python and SQL; strong documentation and reporting skills; advanced MS Word/Excel/PowerPoint/LaTeX skills

Responsibilities

• Develop and/or validate market risk and pricing models including FRTB (IMA) and VaR/SVaR
• Work on RNIV, P2A, and Counterparty Risk Exposure models; XVA and stress testing
• Perform end-to-end model validation, benchmarking, outcome analysis and impact assessment
• Prepare high-quality model validation reports documenting assumptions, limitations, and weaknesses
• Ensure documentation is concise, reproducible, and track model-related findings
• Conduct model risk assessments and provide SME on models to global teams

Skills

Market risk

FRTB modeling

Model validation

Documentation

Regulatory knowledge

Tools

Python

SQL

LaTeX

Excel

Job description

Job Title: Market risk (FRTB)

Function: Financial Risk Management

OVERVIEW

About KPMG in India

KPMG entities in India are professional 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.

Roles And Responsibilities:

• Develop and/or validate market risk and pricing models, including:
• FRTB (IMA)
• Value-at-Risk (VaR), Stressed VaR (SVaR)
• Risk Not in VaR (RNIV), P2A
• Counterparty Risk Exposure models
• XVA and stress testing models
• Perform end-to-end model validation, including benchmarking, outcome analysis, and impact assessment.
• Prepare high-quality model validation reports, clearly documenting assumptions, limitations, and identified weaknesses.
• Ensure all work is well-documented, concise, and reproducible.
• Track, manage, and close model-related findings effectively.
• Conduct model risk assessments, including robustness analysis and identification of model limitations.
• Provide subject matter expertise (SME) on models and model risk to global teams.
• Work on derivative pricing and valuation models, covering both plain vanilla and exotic instruments.
• Ensure adherence to model risk management guidelines, such as SR 11-7 or equivalent regulatory frameworks.

Required Skills & Expertise

• Strong experience in Market Risk and FRTB modeling or model validation/ development

In-depth knowledge of:

• Financial risk management practices
• Regulatory expectations and model risk governance
• Proficiency in Python and working knowledge of SQL.
• Strong documentation and reporting skills.
• Advanced proficiency in Microsoft Word, Excel, PowerPoint, and LaTeX.

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.