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Senior Manager - Credit Risk

Date: Sep 13, 2021

Location: London, United Kingdom

Company: KPMG UK

Responsibilities:




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:




Technical model development documentation review;




Technical model validation documentation review;




Assessment of model performance;




Replication testing; and




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. This could include reviews of Governance frameworks, Stress testing, Risk appetite, ICAAPs.






The individual will also be expected to work independently and be able to manage teams when delivery a range of projects.







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, IRB and IFRS9






Knowledge and practical experience in accounting and risk requirements as related to IRB and/or IFRS9 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:







Minimum 7 years relevant experience within the finance sector.






Ability to communicate risk/finance requirements of IRB/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, team coordination and stakeholder management skills.






Flexibility to work across the UK (and internationally) where required




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