Counterparty credit risk- Assistant Manager

As a professional at KPMG in India, you will play a crucial role in the following 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 such as replacement cost, PFE, hedging sets, supervisory factors, netting sets, and collateral impacts. - Model Review & Data Validation - Ensure alignment with global regulatory requirements including 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. - Collaborate with various teams including 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 cross-functional teams to resolve data gaps and improve exposure computation. - Participate in global SACCR remediation, transformation, and optimization projects. When it comes to the required skills and qualifications, you should possess the following: 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 such as FRM, CFA, CQF, or equivalent. KPMG India values diversity and equal opportunities for all applicants and employees, regardless of various backgrounds. Your voluntary submission of diversity details will support our commitment to creating an inclusive workplace environment. As a professional at KPMG in India, you will play a crucial role in the following 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 such as replacement cost, PFE, hedging sets, supervisory factors, netting sets, and collateral impacts. - Model Review & Data Validation - Ensure alignment with global regulatory requirements including 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. - Collaborate with various teams including 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 cross-functional teams to resolve data gaps and improve exposure computation. - Participate in global SACCR remediation, transformation, and optimization projects. When it comes to the required skills and qualifications, you should possess the following: 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 such as FRM, CFA, CQF, or equivalent. KPMG India values diversity and equal opportunities for all applicants and employees, regardless of various backgrounds. Your voluntary submission of diversity details will support our commitment to creating an inclusive workplace environment.