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Analysts - Credit Modelling (IFRS9)

Date: Jul 9, 2019

Location: London, United Kingdom

Company: KPMG UK

AutoReq ID145934BR
Job TitleAnalysts - Credit Modelling (IFRS9)
CountryUnited Kingdom
FunctionRisk Consulting
Service LineFRM
Service Line InformationUsing a wide variety of technical and sector-specific skills, KPMG's Risk Consulting group proactively helps clients increase profits whilst reducing reputational, operational, financial and other risks. We are experienced in managing diverse issues including fraud, regulatory compliance, risk frameworks and modelling, capital efficiency, corporate governance, dispute resolution, deriving value from contracts and much more.

As subject matter experts with a breadth of experience and specialism across industry, consulting, academia and regulators, the risk team offer the skills and levers to provoke and support complex and unique risk transformational projects in the financial services industry.

KPMG OverviewKPMG is part of a global network of firms that offers Audit, Tax & Pensions, Consulting, Deal Advisory and Technology services. Through the talent of over 16,000 colleagues, we bring our creativity and insight to our clients’ most critical challenges.
With offices across the UK, we work with everyone from small start-ups and individuals to major multinationals, in virtually every industry imaginable. Our work is often complex, yet our vision is simple: to be the clear choice for our clients, for our people and for the communities we work in.

Job DescriptionResponsibilities:

The individual will be responsible for helping clients interpret expectations of accounting standards (IFRS 9) relating to expected credit losses tailored to their individual constraints.

These expectations/ requirements include but are not limited to:

- The use of multiple economic scenarios
- The determination of significant increases in credit risk
- The estimation of expected credit losses through the use of mathematical models for PD, EAD, LGD and attrition.
- The use of any practical expedients within the accounting standard

The individual will be also be responsible for the validation/ development of credit risk measurement models including but not limited to:

- The preparation of data from the data warehouse/repository
- The tracing of data enhancements/ transformations between the data repository and final dataset
- Univariate and multivariate statistical analysis
- Model performance testing
- Model implementation testing

The individual will also be expected to be responsible for documenting technical analysis of the above into succinct reports for our clients.

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.

Qualifications, skills and experience:

- Experience in credit risk modelling techniques.
- Knowledge and practical experience in accounting and risk requirements as related to IFRS9.
- 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
- 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.
- Excellent oral / written communication, planning, project management, networking and influencing skills
- Flexibility to work across the UK (and internationally) where required
- Ability to understand and execute programming code including VBA, SAS, MatLab, C++, R and Python
- Relevant Sectoral experience – Developing PD, EAD and LGD models for credit risk

Multiple positions available
Opening Date: 09/07/2019
Closing Date: 06/08/2019
Competitive salary plus negotiable bonus and benefits

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