KPMG - Credit Risk Modelling Role (3-12 yrs)

Credit Risk Modelling

Credit Risk Role

- Should have prior experience in model development, model validation or model monitoring with GSIBs or Indian Banks.

- Good understanding of Credit Risk Model Development steps starting with exploratory data analysis, roll rate, vintage analysis, good/bad definitions, factor selections, logistic/linear regressions including assumptions and limitations, scorecard calibration

- Credit Risk Model Validation starting from data preparation and analysis, validation tests, back testing, scenario analysis, sensitivity analysis

- Time Series analysis and forecasting

- Economic Capital computation

- Sound knowledge of IRB, IFRS 9, CECL, CCAR, SR-11-7, Scorecard, Wholesale & Retail Portfolio, credit card, CRD, CRR guidelines.

- Regulatory Guideline - PRA, EBA, FED, HKMA

- Degree/Qualified accountant/FRM with regulatory reporting background

- Strong quantitative and analytical skills with attention to detail and accuracy

- A power user of Excel spreadsheet and PowerPoint. Acumen and demonstrated knowledge to use visualization tools (i.e., Power BI) will be advantageous

- Investment banking product knowledge and other regulatory development around IB SAS, Python, R

- CA/MBA(Finance)/ M.Sc (stats)

- Certifications in CFA/FRM