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Credit Risk Assistant Manger

KPMG International Cooperative, Winson Green, Birmingham

Credit Risk Assistant Manger

Salary Not Specified

KPMG International Cooperative, Winson Green, Birmingham

  • Full time
  • Permanent
  • Remote working

Posted today, 7 Jan | Get your application in now to be one of the first to apply.

Closing date: Closing date not specified

job Ref: c0710f97992548cd934efbfd25749352

Full Job Description

  • Advising clients on the impact of changing requirements in provision accounting standards (IFRS9) and Basel credit risk capital requirements (IRB). This will model review and validation activities such as:
    • + Technical model development documentation review; + Assessment of model performance + Replication testing; and + Reviewing models' against IRB regulatory requirements.
  • The individual will also be expected to perform technical analysis for workstreams within both IRB, 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.

    Minimum 3 years' 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 IRB, IFRS9, and other regulatory credit risk models
  • Detailed working knowledge and experience of all aspects of model development and validation including the following:
    • + Data extraction and pre-processing + Modular model development + User acceptance testing + Model performance assessments
  • Relevant Sectoral experience - developing Retail/ Wholesale banking PD/EAD/LGD models
  • Knowledge and experience of credit risk processes, governance and documentation, Ability to communicate risk/finance requirements of IRB and/or 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