KPMG
Analyst - Credit Risk
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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