Risk Advisory Credit Risk Assistant Manager Job in Gurgaon at KPMG

KPMG is hiring for the role of Risk Advisory Credit Risk Assistant Manager!

Responsibilities of the candidate:

• 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
• Market Risk Model Development or Validation experience covering
• VaR modeling and validation/back-testing (historical full revaluation, Taylor var approximation (delta gamma method), Monte Carlo) for linear instruments and derivative products
• Pricing (linear instruments and Derivatives)
• Curve construction and calibration
• MR Capital computation (Standardised approach/IMA/FRTB)
• Economic Capital computation
• Time Series analysis and forecasting

Requirements:

• Sound knowledge of IRB, IFRS 9, CECL, CCAR, SR-11-7, TRIM, CRD, CRR guidelines
• Qualification: MBA