01/12 Anjali Rai
Administrator at KPMG Global Services

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KPMG - Executive/Senior - Statistical & Quantitative Modeling Team - IIT/ISI (2-6 yrs) Premium

Bangalore Job Code: 639805

Roles and responsibilities:

We are recruiting for a Exec/ Senior in the Statistical & quantitative Modeling team. Your responsibilities will include:

Work with our clients in the US, UK, Australian and South-East Asian market to assist them in credit and market risk engagements pertaining to model development/validation, credit policy review, credit origination process review.

Key engagement responsibilities would be :

1. Model development of one or more of CCAR/DFAST/ IFRS 9 modelling and PPNR including Stress Testing, Balance Sheet forecasting, Deposit Modelling/PD/EAD/LGD, Loss Forecasting, Underwriting scorecard, Credit Scoring and other behavioral models).

2. Advanced statistical and quantitative modelling skills (linear regression, logistic regression, ARIMA modelling, Markov Chain, Merton Model, CHAID and other data mining/predictive modelling skills).

3. Model validation including conceptual soundness, critical assessment of the testing performed by the model developers to support the integrity and accuracy of the model implementation and its fit-for-purpose, designing to evaluate the model's predictive power and its robustness uncertainty through the development and use of alternative benchmark models.

4. Experience in validation of pricing models across various classes viz., Equities, Credit, IR, FX, Commodities etc.,

5. Excellence in probability theory, stochastic processes, partial differential equations, numerical analysis, option pricing theory (quant models for pricing and hedging derivatives). Sound knowledge of various simulation techniques like Monte Carlo Simulation etc.,

6. Strong understanding of regulations and guidelines like IAS 39, IFRS9, SR 11-7 or other equivalent guidelines for model risk management.

7. Programming skills: SAS, R, Python. Expertise is one of these programming language is a must. Programming ability in C++ is preferred.

8. Responsible for key deliverables and engage with Partners/Directors to understand the project scope, business requirements and work with onshore and offshore teams to do successful delivery.

Prior Experience:

Prior experience of working in the Risk Management/Analytics division in large banks and/or tier 1 consulting organizations like Big 4 or captives of top tier banks is preferred.

Education / professional 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.

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