Credit Risk Assistant Manger

3 weeks ago


Birmingham, United Kingdom KPMG-UnitedKingdom Full time

**Job description**

**The Role**

**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;
- 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 Person**

**Knowledge & Experience**:

- Minimum 3 years' experience working in a credit risk modelling role within a financial or professional services firm.
- Practical experience in credit risk modelling techniques
- Knowledge and practical experience in accounting and risk requirements as related to IRB, IFRS9, and other regulatory credit risk models
- Detailed working knowledge and experience of all aspects of model development and validation including the following:

- Data extraction and pre-processing
- Modular model development
- User acceptance testing
- 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 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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