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Credit Risk - Assistant Manager

Date: Sep 10, 2021

Location: Leeds, United Kingdom

Company: KPMG UK

The Role


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:
1) Technical model development documentation review;
2) Technical model validation documentation review;
3) Assessment of model performance;
4) Replication testing; and
5) 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:

1) Data extraction and pre-processing
2) Modular model development
3) User acceptance testing
4) Model performance assessments

Relevant Sectoral experience – developing Retail/ Wholesale banking PD/EAD/LGD models
Knowledge and experience of credit risk processes, governance and documentation

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, with a Leeds, Manchester or London base

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