KPMG - Associate/Senior Associate - Credit Risk Modeling - IIT/ISI

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