Credit Risk Modeling & Validation Specialist

About KPMG 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.

Credit Risk Role

• Should have prior experience in model development, model validation or model monitoring with 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

Good communication skills, analytical and presentation skills are mandatory for the above skill set.

If interested please send in your Cvs to anamikagandhi@kpmg.com.

Equal employment opportunity information

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