Credit Risk/ IFRS 9 Expert

KPMG’s Financial Risk Management (FRM) team advises clients on the development and implementation of risk management policies, systems, and solutions. We offer a broad range of financial risk management services to help financial institutions and corporate clients identify, measure, manage, and report the risks they face.

We are currently looking for an additional team member who will be involved, together with the rest of the team. in credit risk model development and validation and other quantitative activities related to IFRS 9 application and credit risk management.

The successful job holder will contribute to the development of best practices within all aspects of credit risk modelling and analytics.

Your Role

To be a trusted advisor to clients in the financial sector (and other fields) by:

• Developing & documenting/ reviewing & enhancing:
  • IFRS 9 methodologies and models (PD, LGD, EAD)
  • Credit risk scoring models;
• Carrying out model validation or performance assessment/ monitoring;
• Reviewing & providing best practice guidance on credit risk governance, credit risk policy and procedure framework.

Essential

Experience – Min. 4 years of relevant experience:

• Experience of credit risk modelling techniques;
• Knowledge of credit risk processes, governance and documentation;
• Experience in model development/validation including data extraction, data transformation, model development, user acceptance testing, model performance testing.

Desirable

• Experience of Retail/Wholesale PD/LGD/EAD model

Expertise/Technical Role Requirements

• Understanding of key regulatory/ accounting requirements (. IFRS, Basel, CECL)
• Ability to understand and execute programming codes including SAS, R, Python

Skills

• Ability to understand client challenges and propose value-added solutions
• Strong verbal and written communications skills in Romanian and English
• Excellent ability to manage timelines and meet deadlines