Credit Risk Modeller
- London, England, United Kingdom
- Contract, Full time
- KPMG UK
- 18 Aug 17
Using a wide variety of technical and sector-specific skills, KPMG's Risk Consulting group proactively helps clients increase profits whilst reducing reputational, operational, financial and other risks. We are experienced in managing diverse issues including fraud, regulatory compliance, risk frameworks and modelling, capital efficiency, corporate governance, dispute resolution, deriving value from contracts and much more.
This role would initially be on a 6 month contract.
As subject matter experts with a breadth of experience and specialism across industry, consulting, academia and regulators, the risk team offer the skills and levers to provoke and support complex and unique risk transformational projects in the financial services industry.
The Role Responsibilities:
- Advising 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 lead the individual 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.
The Person Qualifications & Skills:
- Detailed knowledge and experience in delivering of IFRS9 and credit risk modelling engagements.
- Knowledge and practical experience in accounting and risk requirements as related to IFRS9.
- Detailed working knowledge and experience of all aspects of model development and validation including the following: 1) Methodology design 2) Data extraction and pre-processing 3) Modular model development 4) User acceptance testing 5) Model performance assessments 6) Model validation
- In addition the candidate should be experienced in explaining complex technical terms or impacts to a senior non-technical audience.
- Ability to communicate risk/finance requirements of IFRS9 to the reciprocal function, i.e. risk to finance and finance to risk.
- 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
Experience & Background:
- Ability to understand and execute programming code including VBA, SAS, MatLab, C++ etc Relevant Sectoral experience - Developing Retail/ Wholesale banking PD/EAD/LGD models