KPMG
Risk Advisory Credit Risk Senior Manager
Job Description
- 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
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