Counterparty credit risk- Assistant Manager

About KPMG in 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.

Key Responsibilities

• SACCR Calculations & Implementation
• Perform SACCR exposure calculations for OTC derivatives, SFTs, FX, interest rate products, and cleared trades.
• Review and validate tradelevel attributes: replacement cost, PFE, hedging sets, supervisory factors, netting sets, and collateral impacts.

Model Review & Data Validation

• Ensure alignment with global regulatory requirements: Basel III, Basel IV, BCBS, RBI, FCA, OCC, etc
• Prepare documentation and respond to regulatory/audit queries.
• Risk Analysis & Exposure Monitoring
• Analyze counterparty exposure trends, sensitivity changes, and capital impact under SACCR.
• Work closely with Credit Risk, Market Risk, Treasury, and Front Office on exposure drivers.
• Conduct data quality checks, trade attribute validation, and exception management.
• Partner with Model Validation teams for conceptual soundness, back-testing, and benchmarking.
• Review and enhance methodologies for netting, collateral, and margining.
• Collaborate with Technology, Front Office, Operations, and Regulatory Reporting teams to resolve data gaps and improve exposure computation.
• Participate in global SACCR remediation, transformation, and optimization projects.

Required Skills & Qualifications

Must-Have Skills

• Strong understanding of SACCR, CCR exposure metrics, Basel regulatory frameworks.
• Hands-on exposure to OTC derivatives, SFTs, repo/reverse repo, margin agreements.
• Proficiency in SQL, Python, or other analytical tools.
• Strong quantitative and analytical skills.

Good-to-Have

• Familiarity with IMM, CEM, SIMM, and EAD models.
• Knowledge of collateral management, CSA terms, and netting agreements.
• Understanding of capital planning and regulatory reporting.
• Certifications: FRM, CFA, CQF, or equivalent.

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.