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Credit Risk - Manager

Date: Apr 5, 2021

Location: London, 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:
a. Technical model development documentation review;
b. Technical model validation documentation review;
c. Assessment of model performance;
d. Replication testing; and
e. 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

The individual would have the following:
1) At least 6 years of experience working within a credit risk model development/ validation function within a bank or professional services firm;
2) Has at least 2 years of experience managing a team of 2 or more people in a credit risk model development/ validation function
3) Has at least 4 years of experience in credit risk modelling techniques;
4) knowledge and practical experience in at least one of IRB and/or IFRS9 risk models.
5) Has at least 4 years of experience of in all aspects of model development/ validation within Retail/ Wholesale banking;
6) And Flexibility to work across the UK (and internationally) where required
7) Relevant Sectoral experience – developing Retail/ Wholesale banking PD/EAD/LGD models
8) 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


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