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KPMG India Consultant – Market Risk Recruitment 2026: Apply Online
Consultant – Market Risk
Job Overview
KPMG India is seeking highly analytical and detail-oriented professionals for the position of Consultant – Market Risk within its Financial Risk Management (FRM) practice. This role offers an exceptional opportunity to work with leading national and international financial institutions, helping them navigate complex market risk landscapes, develop robust risk models, and ensure compliance with global regulatory standards.
As a Consultant in the FRM team, you will play a pivotal role in assessing the conceptual soundness and mathematical methodologies of market risk models. You will design and execute rigorous tests to challenge model assumptions, evaluate calibration with market data, and identify potential limitations. The role spans a wide array of sophisticated financial instruments and risk frameworks, including Value at Risk (VaR), Expected Shortfall (ES), Fundamental Review of the Trading Book (FRTB), and Counterparty Credit Risk (CCR) exposure models.
KPMG India provides a highly collaborative, technology-enabled, and performance-driven environment. Professionals in this role will leverage KPMG’s global network and deep local expertise to deliver high-quality model validation reports and advisory services. This position is ideal for quantitative analysts, risk modelers, and financial engineers who want to accelerate their careers in risk consulting.
Key Highlights of the Role:
- Global Exposure: Work with prestigious financial institutions across sectors, addressing their most critical risk management challenges.
- Advanced Quantitative Work: Validate and develop complex pricing models for plain vanilla and exotic derivatives across equity, bond, and mutual fund products.
- Regulatory Alignment: Gain deep expertise in implementing and validating models under Basel III/IV, FRTB, and SR11-7 guidelines.
- Professional Growth: Collaborate with industry experts, participate in continuous learning programs, and fast-track your career in financial consulting.
- Inclusive Culture: Join an organization that actively values diversity, equity, and inclusion, providing equal opportunities for all professional backgrounds.
Key Job Details
| Company Name | KPMG India |
| Job Role | Consultant – Market Risk |
| Experience | Proven experience in market risk, risk modeling, or model validation/development. |
| Salary Range | Best in Industry |
| Job Type | Full-time |
| Work Mode | Full-time |
| Openings | Multiple |
| Job Location | Mumbai, Maharashtra, India |
Key Responsibilities
- Assess the conceptual soundness, mathematical methodology, and underlying assumptions of market risk models.
- Develop and execute independent testing frameworks to evaluate model robustness and performance.
- Validate pricing models for plain vanilla and exotic derivatives across various asset classes (Equity, Bonds, Mutual Funds, Credit Derivatives).
- Analyze and implement advanced market risk models, including Value at Risk (VaR), Expected Shortfall (ES), and FRTB (Standardized & Internal Models Approach).
- Evaluate Interest Rate Risk in the Banking Book (IRRBB) from both Economic Value of Equity (EVE) and Net Interest Income (NII) perspectives.
- Review pricing models based on simulations or path-dependent models, assessing their calibration with real-world market data.
- Produce high-quality, comprehensive model validation reports detailing limitations, weaknesses, assumptions, and recommendations.
- Ensure compliance with global regulatory standards such as Basel, EU guidelines, and SR11-7 for model risk management.
- Document validation processes, findings, and technical methodologies in a clear, structured, and professional manner.
Requirements & Qualifications
- Bachelor’s or Master’s degree in a highly quantitative discipline such as Mathematics, Statistics, Economics, Finance, or Physics.
- Proven professional experience in market risk management, quantitative risk modeling, or model validation within the financial services sector.
- Strong analytical, mathematical, and problem-solving skills with a proactive approach to technical challenges.
- Proficiency in statistical programming languages and tools, specifically Python, R, or SAS.
- Solid understanding of financial instruments, derivatives pricing, and market risk dynamics.
- Familiarity with international regulatory frameworks (Basel III/IV, FRTB, SR11-7).
- Excellent written and verbal communication skills, with the ability to draft detailed technical reports.
- Advanced professional certifications such as FRM, CFA, or CQF are highly advantageous.
Required Skills
- Market Risk Modeling (VaR, Expected Shortfall)
- Model Validation & Quantitative Analysis
- Derivatives Pricing (Plain Vanilla & Exotic)
- Programming (Python, R, SAS)
- Regulatory Compliance (Basel III/IV, FRTB, SR11-7)
- Interest Rate Risk in the Banking Book (IRRBB)
- Technical Report Writing & Documentation
- Financial Risk Management (FRM)
About KPMG India
KPMG entities in India are professional services firms affiliated with KPMG International Limited. Established in India in August 1993, KPMG has built a powerful presence across the country with offices in Ahmedabad, Bengaluru, Chandigarh, Chennai, Gurugram, Hyderabad, Jaipur, Kochi, Kolkata, Mumbai, Noida, Pune, Vadodara, and Vijayawada. KPMG India offers rapid, performance-based, industry-focused, and technology-enabled services to national and international clients across diverse sectors, reflecting a shared knowledge of global and local industries.
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