Credit risk Modelling- 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.

Roles And Responsibilities

Credit Risk / ECL Model Development and Validation

• Develop quantitative models within the credit risk domain, including IRB and IFRS 9 components.
• Design and develop regulatory compliant models / frameworks for ECL computation across various portfolios
• Model development and / or validation or calibration for scoring, PD / LGD / EAD models
• Sound knowledge of IRB, IFRS 9, CECL, BASEL guidelines
• Conduct stress testing for credit risk, incorporating various scenarios and macroeconomic sensitivities.
• Have experience in formulating and reviewing policies related to Credit Risk and various areas of Credit risk including ECL, Capital computation, stress testing etc.
• Should have understanding of credit processes and controls in order to develop and optimize methodologies,
• Perform gap analysis and benchmarking against regulatory guidelines and best practices.
• Should have prior experience in model development, model validation or model monitoring with Indian / Global Banks.

Qualifications

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.

Skills Required

Statistical Tools, Sas, Credit Risk, irb, Sql, Python