KPMG India-Counterparty Credit risk ( Model)
- KPMG India
- 5 to 10 Yrs
- Other Maharashtra
- 5 days ago
- Email to a friend
- Report this job
Job Description
- 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. Why Choose KPMG India Dynamic Work Environment: Be a part of an innovative team that values creativity and fresh ideas. Growth Opportunities: We provide excellent training, mentorship, and career advancement. Attractive Benefits: Competitive salaries, health insurance, and more! Role & Responsibilities Understanding of Cross value adjustment (XVA) modelling Credit value adjustment (CVA), Debit value adjustment (DVA), KVA, MVA, and FVA; wrong-way risk, collateralization and netting, and margin modelling. Candidate should have experience in developing or validating Pricing- Derivatives/ Product Control and hedging models. This can span across asset class like Interest rate, FX, Equity. Skills related to techniques employed in counterparty credit risk IMM models monte-carlo simulation, stochastic modelling (e.g., Hull-White model, Garman Kohlhagen model, Heston Model etc.), back-testing techniques, and monitoring models. Awareness about Traded Credit Risk regulations Basel 3 endgame, Standardised CVA (SA-CVA), regulatory pillar 1 capital, RWA, and BA-CVA and about exposure metrics like PFE, EEPE, EPE, CVA VAR. Candidate should have experience in developing or validating Hull White models, SABR/ Shifted SABR models, HJM models, volatility models like Stochastic / local vol models etc. Knowledge of internal procedures and local regulations and those of other country regulators would be an advantage. Experience: Minimum 5-10 years of model validation/development experience in Risk Management in Market risk domain and in particular CCR space Technical skills in Python, R, Latex, Raven Whatif (CCR UI), and NOLA (internal library). Experience with some statistical modelling software / programming language e.g., Python, R, Matlab, C++, VBA. Experience of presenting recommendations to Senior Management. Experience of conducting independent model reviews. . >> People BENEFITS Continuous learning program Driving a culture of recognition through ENCORE our quarterly rewards and recognition program Comprehensive medical insurance coverage for staff and family Expansive general and accidental coverage for staff Executive Health checkup (Manager & above, and for staff above the age of 30) Les Concierge desk. Internal & Global mobility Various other people friendly initiatives Strong commitment to our Values such as CSR initiatives,
Employement Category:
Employement Type: Full timeIndustry: IT Services & Consulting
Role Category: Not Specified
Functional Area: Not Specified
Role/Responsibilies: KPMG India-Counterparty Credit risk ( Model)
Contact Details:
Company: KPMG IndiaLocation(s): Other Maharashtra
+ View Contact
Fraud Alert to job seekers!
₹ Not Specified
Plugin template missing! Fix or contact support.
Job Listings
We are in open beta version of website, please let us know if any issues, at: info(at)indigojobs.in