Market Business Analyst

About the company

KPMG India is part of a worldwide professional services network that delivers audit, tax, and advisory support across 156 countries. In India, the firm was established in September 1993 and serves more than 4,500 domestic and international clients. With offices in major Indian cities and access to a large pool of trained professionals, KPMG focuses on delivering performance-driven, industry-aware, and technology-enabled solutions tailored to local business realities.

Within advisory, the governance, risk, and compliance practice helps organizations and public sector entities reduce risk, improve performance, and create value. The team supports clients in handling governance, risk management, and compliance needs in a complex business environment.

Role summary

This position is for an experienced market risk professional with deep knowledge of FRTB, regulatory and internal stress testing, and VaR methodologies. The role combines quantitative analysis, model support and development, regulatory alignment, and risk reporting across trading books and portfolios.

Key responsibilities

• Support implementation of FRTB SA/IMA requirements, including related data needs and control processes.
• Carry out desk-level PLAT checks, risk-theoretical P&L backtesting, and assessments of model eligibility.
• Help map risk factors, sensitivities, and liquidity horizons in line with regulatory expectations.
• Draft documentation for regulatory filings, internal governance reviews, and audit requirements.
• Work closely with front office, quantitative, finance, and technology teams to progress FRTB readiness.
• Calculate and review VaR, sVaR, ES, and other market risk measures across multiple regimes.
• Monitor VaR on a daily basis, perform backtesting, analyze exceptions, and escalate issues when needed.
• Break down portfolio risk and explain movements in risk figures.
• Contribute to model improvements, better data quality, and expanded scenario coverage.
• Design, implement, and review regulatory as well as internal stress scenarios, including idiosyncratic, market-wide, and macroeconomic events.
• Partner with modeling teams to ensure scenario calibration remains robust and aligned with prevailing market conditions.
• Prepare clear stress-testing outputs and management insights for senior stakeholders and regulators.
• Ensure work aligns with Basel III/IV and relevant RBI, ECB, Fed, or UK PRA requirements, depending on jurisdiction.
• Work with large market datasets across asset classes such as rates, FX, credit, equities, and commodities.
• Support automation efforts and process enhancements in risk reporting.
• Use Python, SQL, R, Excel/VBA, and market risk platforms such as Murex, Bloomberg, and Reuters where applicable.

Requirements

• A bachelor’s or master’s degree in finance, economics, mathematics, statistics, engineering, or a related discipline.
• 5 to 8 years of experience in market risk, quantitative risk, model development, or risk analytics.
• Strong understanding of FRTB SA/IMA methodology, VaR, sVaR, expected shortfall, stress testing, and Basel III/IV requirements.
• Hands-on exposure to risk sensitivities, P&L explain, scenario generation, and market data processes.
• Practical proficiency in Python and SQL; familiarity with Bloomberg and Murex is preferred.
• Strong analytical ability, attention to detail, clear communication, and the capacity to work under deadlines in a fast-moving environment.
• Comfort working across teams and managing stakeholders effectively.

Why this role stands out

The position offers the chance to work in a high-impact regulatory domain, gain exposure to global markets and advanced risk frameworks, and build experience in a collaborative, growth-oriented setting.

Compensation

Pay is aligned with market standards. The detailed compensation structure will be shared only with shortlisted candidates.

Equal opportunity

The employer presents this opportunity as open to candidates looking to contribute to an energetic advisory team and grow their professional potential.