Senior - Credit Risk
KPMG
5 - 10 years
Mumbai
Posted: 12/6/2024
Job Description
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 Role
• Should have prior experience in model development, model validation or model monitoring with GSIBs or 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 calibration
• Credit Risk Model Validation starting from data preparation and analysis, validation tests, back testing, scenario analysis, sensitivity analysis
• Time Series analysis and forecasting • Economic Capital computation
• Sound knowledge of IRB, IFRS 9, CECL, CCAR, SR-11-7, Scorecard, Wholesale & Retail Portfolio, credit card, CRD, CRR guidelines.
• Regulatory Guideline - PRA, EBA, FED, HKMA Degree/ Qualified
Responsibilities:• 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 calibration
• Credit Risk Model Validation starting from data preparation and analysis, validation tests, back testing, scenario analysis, sensitivity analysis
• Time Series analysis and forecasting • Economic Capital computation
• Sound knowledge of IRB, IFRS 9, CECL, CCAR, SR-11-7, Scorecard, Wholesale & Retail Portfolio, credit card, CRD, CRR guidelines.
• Regulatory Guideline - PRA, EBA, FED, HKMA Degree/ Qualified
About Company
KPMG (Klynveld Peat Marwick Goerdeler) is a global professional services firm that provides audit, tax, and advisory services. Headquartered in Amstelveen, Netherlands, it operates in over 140 countries, helping organizations improve performance, manage risks, and comply with regulations. KPMG serves diverse industries, including financial services, healthcare, and technology, offering expertise in areas like strategy, compliance, digital transformation, and sustainability.
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