Website KPMG UK
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.
- Independent replication of any of the above.
- Individual credit file reviews.
- Technical model development documentation review.
- Credit risk governance reviews.
- Technical model validation documentation review.
- Substantive testing of any of the above.
- Assessment of model performance.
- Credit risk policy and procedure reviews.
Qualification & Experience:
- Practical experience in credit risk modelling techniques.
- Experience working in a credit risk modelling role within a financial or professional services firm.
- Relevant Sectoral experience – developing Retail/ Wholesale banking PD/EAD/LGD models.
- Excellent oral / written communication, planning, project management, networking and influencing skills.
- Detailed working knowledge and experience of all aspects of model development and validation including the following:
- Model performance assessments.
- Data extraction and pre-processing.
- User acceptance testing.
- Modular model development.
- Flexibility to work across the UK (and internationally) where required.
- Knowledge and practical experience in accounting and risk requirements as related to IFRS9, CECL and regulatory credit risk models.
- 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.
- Knowledge and experience of credit risk processes, governance and documentation.
- Ability to understand and execute programming code including SAS, R, Python.
Company: KPMG UK
Vacancy Type: Full Time
Job Location: Leeds, England, UK
Application Deadline: N/A