KPMG - Senior/Executive Role - Risk Consulting - Statistical Modeling Team - IIT/ISI

We are looking for experienced, competent, enthusiastic and qualified candidates to join as Senior/ Executive in the Risk Consulting-Statistical Modeling team at KPMG India.

Qualifications/Criteria

- Advanced degree in Math, Statistics, Economics or any other Analytical disciplines from IIT/ISI OR any other tiered institute or B.tech. + MBA in finance. Professional Certification such as FRM, CFA preferred

- Prior experience working in the Risk Management/Analytics division in large banks and/or tier 1 consulting organizations like Big 4 or major risk consulting firms preferred

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

- 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.,

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

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

Roles and Responsibilities

- This person will be responsible to 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.

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

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

- 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.

- 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.

Behavioral/Team Skills

- Personal drive and positive work ethic to deliver results within tight deadlines and in demanding situations

- Flexibility to adapt to a variety of engagement types, working hours and work environments and locations

- Team player; self-driven and ability to work independently