About the Company

KPMG entities in India are professional services firm(s). 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 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 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: Counterparty Credit Risk Analyst / Senior Analyst / Associate

Location: Mumbai

Experience: 5–8 Years

About the Role

We are seeking a highly motivated Counterparty Credit Risk (CCR) professional to join our Risk Management team. The role involves measuring, monitoring, analyzing, and reporting counterparty credit risk exposure arising from derivatives, securities financing transactions (SFTs), and other trading activities. The ideal candidate should possess strong quantitative skills, a sound understanding of financial markets, and experience working with front-office, risk, and regulatory teams.

Key Responsibilities

Monitor and assess counterparty credit exposures across OTC derivatives, FX, repo, securities lending, and other traded products.
Perform daily exposure calculations, limit monitoring, stress testing, and risk reporting.
Analyze key CCR metrics such as:
Current Exposure (CE)
Potential Future Exposure (PFE)
Expected Positive Exposure (EPE)
Credit Valuation Adjustment (CVA)
Wrong-Way Risk (WWR)
Review counterparty limits and identify breach/excess situations.
Support counterparty onboarding, review, and ongoing credit assessments.
Evaluate legal documentation including ISDA, CSA, GMRA, and related agreements.
Conduct stress-testing and scenario analysis to assess counterparty vulnerability under adverse market conditions.
Partner with Trading, Market Risk, Credit Risk, Finance, and Operations teams to investigate exposure movements and risk concentrations.
Prepare risk presentations and management reports for senior stakeholders.
Support regulatory initiatives related to Basel III/IV, SA-CCR, and other regulatory requirements.
Participate in model validation, methodology enhancements, and risk framework improvements.

Required Qualifications

Bachelor's or Master's degree in Finance, Economics, Mathematics, Engineering, Statistics, or a related quantitative discipline.
5–8 years of experience in Counterparty Credit Risk, Credit Risk, Market Risk, or Risk Analytics within investment banking, global markets, or financial services.
Strong understanding of:
OTC Derivatives
Fixed Income Products
FX Products
Securities Financing Transactions
Margining & Collateral Management
Knowledge of SA-CCR, Basel regulations, and exposure measurement methodologies.
Experience with risk systems and analytical tools used in investment banking environments.
Strong quantitative and analytical skills.

Technical Skills

Proficiency in Excel and PowerPoint.
Working knowledge of SQL; experience with Python/R/VBA is preferred.
Familiarity with risk platforms such as Murex, Calypso, Athena, Imagine, or equivalent systems.
Ability to analyze large datasets and perform exposure/risk investigations.

Preferred Qualifications

FRM, CFA, PRM, or equivalent certification preferred.
Experience working with global risk teams and front-office stakeholders.
Knowledge of regulatory capital frameworks and CCR capital calculations.

Key Competencies

Strong analytical and problem-solving skills
Stakeholder management
Risk identification and escalation
Attention to detail
Communication and presentation skills
Ability to work in a fast-paced trading environment
Ownership and accountability

Success Measures

Accurate and timely risk reporting.
Effective monitoring of counterparty exposures and limits.
Timely identification and escalation of emerging risks.
Strong partnership with trading desks, credit officers, and regulatory teams.
Continuous improvement of CCR methodologies and reporting processes.

The opportunity is now! If you are interested in being part of a dynamic team, serving clients and reaching your full potential – KPMG Advisory Services is for you!

Counterparty credit risk - Consultant /Assistant manager