Market Business Analyst

About the Company

KPMG is a global network of professional firms providing Audit, Tax and Advisory services. We operate in 156 countries and have 152,000 people working in member firms around the world. KPMG in India, a professional services firm, is the Indian member firm of KPMG International and was established in September 1993. Our professionals leverage the global network of firms, providing detailed knowledge of local laws, regulations, markets and competition. KPMG in India provide services to over 4,500 international and national clients, in India. KPMG has offices across India in Delhi, Chandigarh, Ahmedabad, Mumbai, Pune, Chennai, Bangalore, Kochi, Hyderabad and Kolkata. The Indian firm has access to more than 7,000 Indian and expatriate professionals, many of whom are internationally trained. 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. KPMG Advisory professionals provide advice and assistance to enable companies, intermediaries and public sector bodies to mitigate risk, improve performance, and create value. KPMG firms provide a wide range of Risk Consulting, Management Consulting and Transactions & Restructuring services that can help clients respond to immediate needs as well as put in place the strategies for the longer term. With increasing regulatory requirements, the need for greater transparency in operations, and disclosure norms, stakeholders require assurance beyond the traditional critique of numbers. Hence assurance is being increasingly required on industry issues, business risks and key business processes. The Governance, Risk & Compliance Services practice assists companies and public sector bodies to mitigate risk, improve performance and create value. We assist our clients to effectively manage business and process risks by providing a full spectrum of corporate governance, risk management, and Compliance Services. These services are tailored to meet client’s individual needs, and provide effective support to management in meeting the challenges and opportunities presented by today's complex business environment. Our professionals provide the experience to help companies stay on track and deal with risks that could unhinge their business survival. Our services enable clients to effectively co-ordinate their key growth, quality and operational challenges and working in partnership with us, clients have the benefits of KPMG's experienced, objective, and industry-grounded viewpoints.

Role Summary

We are seeking an experienced Market Risk professional with strong expertise in FRTB (Fundamental Review of the Trading Book) , Regulatory & Internal Stress Testing , and Value‑at‑Risk (VaR) methodologies. The role involves quantitative analysis, model development/support, regulatory compliance, and risk reporting across trading products and portfolios.

Key Responsibilities

1. FRTB Framework & Implementation

• Support FRTB SA/IMA methodology implementation, data requirements, and controls.
• Perform desk‑level P&L attribution tests (PLAT) , risk‑theoretical P&L backtesting, and model eligibility assessments.
• Assist in mapping risk factors, sensitivities, and liquidity horizons according to regulatory rules.
• Prepare documentation for regulatory submissions , internal governance, and audits.
• Collaborate with front‑office, quants, finance, and technology teams on FRTB readiness.

2. Value‑at‑Risk (VaR) Modelling & Reporting

• Compute and analyze VaR, sVaR, ES , and other market risk metrics under multiple regimes.
• Conduct daily VaR monitoring, backtesting, exception analysis, and escalation.
• Perform portfolio‑level risk decomposition and explain changes in risk numbers.
• Contribute to model enhancements, data quality improvements, and scenario expansions .

3. Stress Testing & Scenario Analytics

• Design, implement, and review regulatory and internal stress test scenarios (including idiosyncratic, market‑wide, and macroeconomic stresses).
• Work with modelling teams to ensure robust scenario calibration and alignment with market conditions.
• Produce high‑quality stress‑testing reports and insights for senior management and regulatory review.
• Ensure compliance with Basel III/IV , RBI/ECB/Fed/UK PRA guidelines (based on applicable jurisdiction).

4. Data, Tools & Risk Infrastructure

• Work with large market data sets across asset classes—Rates, FX, Credit, Equities, Commodities.
• Support automation and process improvement in risk reporting.
• Use tools such as Python, SQL, R, Excel/VBA , and market risk platforms (Murex, Bloomberg, Reuters, etc.).

Required Qualifications & Experience

• Bachelor’s/Master’s degree in Finance, Economics, Mathematics, Statistics, Engineering, or related fields.

5–8 years of experience in market risk, quantitative risk, model development, or risk analytics.

• Strong knowledge of:
• FRTB SA/IMA methodology
• VaR/sVaR/Expected Shortfall
• Stress testing frameworks
• Basel III/IV regulatory requirements
• Experience with risk sensitivities, P&L explain, scenario generation, and market data processes.
• Proficiency in Python, SQL , and Bloomberg/Murex (preferred).

Desired Skills

• Strong analytical and quantitative skills.
• High attention to detail with the ability to articulate complex concepts clearly.
• Ability to work in a fast‑paced, deadline‑driven environment.
• Strong stakeholder management and cross‑functional collaboration.

Why Join Us

• Opportunity to work in a high‑impact, regulatory‑critical domain.
• Exposure to global markets, advanced risk methodologies, and next‑generation frameworks like FRTB .
• Collaborative, growth‑focused culture with significant learning opportunities.

Pay range and compensation package

Compensation is competitive with industry standards. Details of the compensation breakup will be shared with short-listed candidates only.

Equal Opportunity Statement

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!