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.

Roles & Responsibiltiy

• Should have strong previous experience (for around 5 years) on derivative pricing models gained in a development or validation role at an investment banking institution in rates or hybrids area
• Should have strong knowledge in Model risk management: Challenging model assumptions, mathematical formulation, and implementation; conducting independent testing to access model accuracy and robustness under different scenarios and market conditions
• Assessing and quantifying model risks due to model limitations, communicate the limitation and agree on compensating controls
• Communicating the model usage control with key stakeholders, including MCO, MRM and VC
• In-depth knowledge of mathematical finance, derivative pricing, and numerical techniques
• Python or scalar programming experience is a plus
• Communicating the model usage control with key stakeholders, including MCO, MRM and VC
• In-depth knowledge of mathematical finance, derivative pricing, and numerical techniques
• Python or scalar programming experience is a plus

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.

Skills: Python

Experience: 5.00-7.00 Years