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Credit Risk Assurance Manager - London

Date: Oct 10, 2021

Location: London, United Kingdom

Company: KPMG UK

The Team

KPMG is building a centre of excellence for credit risk assurance services and are looking for a highly motivated individual to act as a technical specialist on the external audit of
1) Credit risk models (IFRS 9, CECL, Regulatory) at our audit entities and conducting procedures to challenge and validate assumptions and implementation of said models.
2) The end to end credit risk process and credit file reviews
Advising non audit clients on the impact of changing requirements in provision accounting standards (IFRS9) and helping clients validate credit risk measurement models.
The individual will also be expected to complete technical analysis for workstreams within both IFRS9 and credit risk modelling engagements

The Role

The successful candidate will be responsible for providing technical guidance and will have oversight of the work performed by 3-4 assistant managers and analysts. Interaction with stakeholders within our banking audit teams as well as model development/ validation teams at entities we audit. There will be significant complex judgements in credit over which the individual will have to exercise professional scepticism. The individual will be responsible for the work performed but ultimate accountability for the work and conclusions reached will vest with the director for Credit Risk Assurance.

•Technical review of model development documentation
•Technical review of model validation documentation
•Assessment of model performance
•Independent replication of any of the above
•Credit governance reviews
•Credit risk policy and procedure reviews
•Individual credit file reviews and substantive testing

The Person

•Experience of credit risk modelling techniques
•Knowledge of credit risk processes, governance, and documentation
•Experience in all aspects of model development/validation including data extraction, data transformation, modular model development, user acceptance testing, model performance testing
•Experience of Retail/Wholesale PD/LGD/EAD models
•Understanding of key regulatory/ accounting requirements (eg IFRS 9, Basel, CECL)
•Ability to understand and execute programming code including SAS, R, Python
•Ability to communicate risk/finance requirements of IFRS9 to the reciprocal function, i.e. risk to finance and finance to risk.
•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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