Credit Risk Specialist

About KPMG IndiaKPMG 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 And ResponsibilitiesResearch, development, enhancement, and documentation of IMM Counterparty credit risk, methodologies, and tools for regulatory and risk management purposes. Perform analysis including model recalibrations, back-tests, stress tests, scenario, and sensitivity analyses. Programming of prototypes/production code (within an established C++/R /Python libraries) which will be productionized. Program, test and implement quantitative financial methods using Python, C++, VBA, R, Matlab and SQL Utilize advanced statistics, econometrics and mathematical skills including probability theory, stochastic calculus, Monte Carlo simulation, numerical analysis, optimization techniques and time series analysis. Work with Technology on model testing, implementation, and production. Work with risk managers and other stakeholders to address their requests for additional analysis based on specific needs as they arise. Participate in Regulatory and validation exams by providing documentation and responses to regulators and internal validators.Skills Required 4+ years of work experience in quantitative modeling, Risk Management, algorithmic trading, Analytical skills and ability to work with diverse cultures in a global team.Strong knowledge of financial traded products e.g. derivatives and their pricing. Knowledge and hands-on experience in one of the programming languages R, Python, MATLAB, C# or C++ is strongly preferred.Excellent communication skills (Oral and written). Ability to communicate and present logically, precisely and in simple manner, complex and technical issues. Attention to details and ability to work under pressure and cope with a fast moving environment. Required Qualifications. Graduate/Under-graduate/Advance degrees in finance, mathematics, physics econometrics, engineering or other quantitative subjects.. Candidates should have a strong theoretical foundation in mathematics, quantitative finance and derivatives.Candidates will have to deal in Python, SQL queries, and MS-Office on daily basis.Equal employment opportunity informationKPMG 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. PRB