Credit Risk Model Developer
6 days ago
KPMG entities in India are professional services firms. Our professionals leverage the global network of firms, and are conversant with local laws, regulations, markets and competition. KPMG has offices across India in various locations.
Credit Risk Role
Key Responsibilities:
- Develop and validate credit risk models to predict risk estimates such as PD, EAD, and LGD, and operational models to support credit risk decisions.
- Have a 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.
- Perform Credit Risk Model Validation starting from data preparation and analysis, validation tests, back testing, scenario analysis, sensitivity analysis.
- Conduct 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.
Equal Employment Opportunity Information
KPMG India values diversity and 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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