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KPMG-UnitedKingdom

Full Time Birmingham, England 48510 - 82494 GBP ANNUAL Today

Job description

The Role

Responsibilities:

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.

The Person

Knowledge & Experience:

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

Qualifications & Skills:

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

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