Credit Risk Specialist

1 month ago


Mumbai, India KPMG India Full time
KPMG entities in India are professional services firm(s). These Indian member firms are affiliated with KPMG International Limited. KPMG was established in India in August 1993. Our professionals leverage the global network of firms, and are conversant with local laws, regulations, markets and competition. KPMG has offices across India in Ahmedabad, Bengaluru, Chandigarh, Chennai, Gurugram, Jaipur, Hyderabad, Jaipur, Kochi, Kolkata, Mumbai, Noida, Pune, Vadodara and Vijayawada. 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.

Must haves of the role -Should have prior experience in model development, model validation or model monitoringGood 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 calibrationCredit Risk Model Validation starting from data preparation and analysis, validation tests, back testing, scenario analysis, sensitivity analysisTime Series analysis and forecastingEconomic Capital computationSound knowledge of IRB, IFRS 9, CECL, CCAR, SR-11-7, Scorecard, Wholesale & Retail Portfolio, credit card, CRD, CRR guidelines.Develop the credit risk models to predict risk estimates such as PD, EAD, and LGD, and operational models to support credit risk decisions, Areas the Model could include but not limited to Regulatory Capital Calculation , Internal Capital Calculation ,Stress Testing and Origination Decisioning

Good communication skills, analytical and presentation skills are mandatory for the above skill set.

Equal employment opportunity information KPMG India has a policy of providing equal opportunity for all applicants and employees regardless of their color, caste, religion, age, sex/gender, national origin, citizenship, sexual orientation, gender identity or expression, disability or other legally protected status.

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