Job Views:  
527
Applications:  103
Recruiter Actions:  30

Job Code

960282

KPMG - Credit Risk Model Validation - Audit

1 - 8 Years.Bangalore/Delhi NCR
Diversity InclusiveDiversity Inclusive
Posted 3 years ago
Posted 3 years ago

Responsibilities :

Acting as a technical specialist on the external audit of credit risk models (IFRS 9, CECL, Regulatory) at our audit entities and conducting procedures that include but are not limited to :

1) Technical model development documentation review

2) Technical model validation documentation review

3) Assessment of model performance

4) Independent replication of any of the above

Acting as a technical specialist on the external audit of audit entities end to end credit risk process and conducting procedures that include but are not limited to :

1) Credit risk governance reviews

2) Credit risk policy and procedure reviews

3) Individual credit file reviews

4) Substantive testing of any of the above

- Advising non audit clients on the impact of changing requirements in provision accounting standards (IFRS9) and helping clients validate or build credit risk measurement models.

- The individual will also be expected to complete technical analysis for workstreams within both IFRS9 and credit risk modelling engagements.

- The individual will also be required to apply their skills to a broad range of banking risk related issues supporting both regional and national propositions.

Knowledge & Experience :

- Experience working in a credit risk modelling role within a financial or professional services firm.

- Practical experience in credit risk modelling techniques

- Knowledge and practical experience in accounting and risk requirements as related to IFRS9, CECL and regulatory credit risk models

- Detailed working knowledge and experience of all aspects of model development and validation including the following :

1) Data extraction and pre-processing

2) Modular model development

3) User acceptance testing

4) Model performance assessments

Relevant Sectoral experience : Developing Retail/ Wholesale banking PD/EAD/LGD models

Knowledge and experience of credit risk processes, governance and documentation

Skills :

- Ability to communicate risk/finance requirements of IFRS9 to the reciprocal function, i.e. risk to finance and finance to risk.

- Ability to understand and execute programming code including SAS, R, Python

- Flexibility and agility to contribute in a senior capacity to a broad range of banking risk engagements.

- Excellent oral / written communication, planning, project management, networking and influencing skills.

- Flexibility to work across the UK (and internationally) where required

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Job Views:  
527
Applications:  103
Recruiter Actions:  30

Job Code

960282

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