Assistant Vice President Quant Role Economic Capital Modelling

About KPMG INDIAKPMG 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 RoleShould 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 calibrationCredit Risk Model Validation starting from data preparation and analysis, validation tests, back testing, scenario analysis, sensitivity analysisTime Series analysis and forecastingEconomic Capital computationSound knowledge of IRB, IFRS 9, CECL, CCAR, SR-11-7, Scorecard, Wholesale & Retail Portfolio, credit card, CRD, CRR guidelines.Regulatory Guideline - PRA, EBA, FED, HKMADegree / Qualified accountant / FRM with regulatory reporting backgroundStrong quantitative and analytical skills with attention to detail and accuracyA power user of Excel spreadsheet and PowerPoint. Acumen and demonstrated knowledge to use visualization tools (i.E., Power BI) will be advantageousInvestment banking product knowledge and other regulatory development around IBSAS, Python, RCA / MBA(Finance) / M.SC (stats)Certifications in CFA / FRMGood communication skills, analytical and presentation skills are mandatory for the above skill set.If interested please send in your Cvs to anamikagandhi@kpmg.com.looking for selected candidates to join within 30 to 45 days or an immediate joiner.Equal employment opportunity informationKPMG 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