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Senior Manager – Credit Risk Assurance

Date: Oct 11, 2021

Location: London, United Kingdom

Company: KPMG UK

Responsibilities:

Acting as a technical subject matter specialist on the external audit of credit risk models (IFRS 9, CECL, Regulatory) at our audit entities and conducting procedures that include but are not limited to:





Technical model development documentation review





Technical model validation documentation review





Assessment of model performance





Independent replication of any of the above





Acting as a technical subject matter specialist on the external audit of audit entities end to end credit risk process and conducting procedures that include but are not limited to:





Credit risk governance reviews





Credit risk policy and procedure reviews





Individual credit file reviews





Substantive testing of any of the above





Advising non audit clients on the impact of changing requirements in provision accounting standards (IFRS9) and helping clients validate or build 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 individual will also be expected to work independently and be able to manage teams of up to 10 on audits or advisory engagements. Said individual would also be responsible for the quality and risk management on audit and advisory 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:








Experience working in a credit risk modelling role within a financial or professional services firm.






Experience in managing teams of 6-10 people






Practical experience in credit risk modelling techniques






Knowledge and practical experience in accounting and risk requirements as related to IFRS9, CECL and 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 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






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