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Senior Executive at KPMG
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KPMG - Associate/Senior Associate - Credit Risk Modeling - IIT/ISI (1-7 yrs)
Job Description - Credit Risk
Required Experience: 1 - 5 Years
Designation: Associate / Senior Associate
Job Location: Bangalore
Role description:
- Work with our clients in the US, Australian and South-East Asian market to assist them in credit risk projects pertaining to model development/validation, credit policy review, credit origination process review, TOM development, and regulatory compliance, reporting.
Key engagement responsibilities would be :
- Model development PPNR (pre provision net revenue - income and Expense model ), CCAR/DFAST modeling and Stress Testing, Balance Sheet forecasting, Deposit Modeling, PD/EAD/LGD, Loss Forecasting, Underwriting scorecard, Credit Scoring and other behavioral models)
- Model Validation
- Model Documentation
- Data Analytics and Management
- Understanding of RWA calculation for credit risk and counterparty credit risk
- Engage with Partners/Directors to understand the project scope, business requirements and work with onshore and offshore teams to do successful delivery
- Take responsibility for key deliverables on engagements reporting to Engagement managers.
Required Qualifications:
- Advanced degree in Math, Statistics, Economics or any other Analytical disciplines from IIT/ISI OR any other tier1 institute or B.tech. + MBA in finance
- Professional Certification such as FRM, CFA preferred
- Minimum of 1 year (3 Yrs for sr. associate) experience working in the credit risk division in large banks and/or tier 1 consulting organizations like Big 4, Accenture or Specialized Risk Analytics firms.
- Strong working knowledge in most of the following areas:
- PPNR ( Pre Provision Net Revenue- Income and Expense model)
- PD/LGD/EAD Model development
- ALLL (Loan loss provisions) calculation
- Loss forecasting models
- CCAR / DFAST stress testing
- RWA & Capital calculation
- Credit scoring (Retail portfolios)
- Advanced statistical modeling skills (logistic regression, CHAID and other data mining/predictive modeling skills)
- Strong knowledge of Python, Advanced Excel and VBA.
- Sound modeling skills in SAS, SPSS, MATLAB, R or other statistical software preferred.
- Other preferred skills will be:
- Risk based pricing
- RAROC
- Economic Capital / Credit VaR
- Basel II, ICAAP
- Excellent communication skills (Verbal & Written)
- Must work well in a team-oriented environment as well as independently.
- Ability to travel overseas as necessary to meet client needs
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