About KPMG 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.
About the Role
We are seeking a CCR professional to lead and execute counterparty credit risk stress testing across derivative and securities financing portfolios. The role will design and run scenarios, quantify exposure and loss impacts (e.g., EPE/PFE/CVA), assess vulnerabilities (including wrong-way risk), and deliver insights that support regulatory submissions (ICAAP/CCAR/EBA as applicable), risk appetite, and senior management decision-making.
Key Responsibilities
- Stress Testing & Scenario Design
- Design, calibrate, and execute macro and idiosyncratic stress scenarios for CCR across different asset classes (Rates, FX, Credit, Equities, Commodities).
- Translate market shocks into exposure metrics (EAD, PFE, EPE) and valuation adjustments (CVA/DVA/FVA).
- Incorporate netting, collateral, margining, rehypothecation and CSA terms into stress outcomes.
- Modeling & Analytics
- Build/maintain simulation frameworks (e.g., Monte Carlo, exposure profiles, path-dependent features) to estimate stressed exposures.
- Assess wrong-way risk (WWR), concentration risk, and procyclicality under severe but plausible scenarios.
- Support SA-CCR calculations and reconcile stress results with capital measures (e.g., CVA capital, Default risk charge).
- Regulatory & Governance
- Contribute to ICAAP, CCAR/DFAST (if applicable), and EBA/PRA stress testing deliverables with robust documentation.
- Ensure model and process validation, controls, and audit readiness; respond to internal/external review findings.
- Maintain compliance with Basel III/IV, RBI guidelines (where applicable), and internal risk policies.
- Data, Infrastructure, and Reporting
- Partner with Risk, Finance, Quant, Technology, and Front Office to source data, reconcile trade/market data, and improve data quality.
- Automate pipelines and dashboards for stress metrics and management reporting; develop clear board-level narratives.
- Produce timely MI reports, heatmaps, and drill-downs by counterparty, sector, product, and tenor.
- Stakeholder Engagement
- Present stress testing results to senior stakeholders; recommend risk mitigation (hedging, collateral optimization, limits).
- Support limit frameworks (PFE/CVA limits), risk appetite calibration, and contingency playbooks for stressed conditions.
Qualifications
- Education: Bachelor's/Master's in Finance, Economics, Mathematics, Statistics, Engineering, or related quantitative discipline.
- Experience:Analyst/Associate: 25 years in CCR, risk modeling, stress testing, or quantitative analytics.
- 610+ years with demonstrated leadership in CCR stress testing and regulatory delivery.
- Technical Skills:Hands-on with Python/R/SQL; strong Excel/VBA; familiarity with SAS/Matlab a plus.
- Experience with risk engines or pricing libraries (e.g., for exposure simulation, CVA).
- Proficient in derivatives pricing concepts, CSA terms, netting sets, and collateral mechanics.
- Risk & Regulatory Knowledge:Solid understanding of Basel frameworks, SA-CCR, ICAAP; exposure to CCAR/EBA/PRA stress testing desirable.
- Knowledge of PFE/EPE, CVA/DVA/FVA, WWR, and concentration risk.
- Soft Skills:Strong analytical thinking, structured problem-solving, and attention to detail.
- Clear written and verbal communication; ability to present to senior management and regulators.
- Collaboration across Risk/FO/Quant/Tech; project management in time-pressured environments.
Good communication skills, analytical and presentation skills are mandatory for the above skill set.
If interested please send in your Cvs to [Confidential Information].
- Looking for selected candidates to join within 30 to 45 days or an immediate joiner.
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
