Senior - Credit Risk

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

• 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