Summary of Role Purpose:
KPMG is building a centre of excellence for credit risk assurance services and are looking for a highly motivated individual to act as a technical specialist on the external audit of
1) Credit risk models (IFRS 9, CECL, Regulatory) at our audit entities and conducting procedures to challenge and validate assumptions and implmentation of said models.
2) The end to end credit risk process and credit file reviews
Advising non audit clients on the impact of changing requirements in provision accounting standards (IFRS9) and helping clients validate credit risk measurement models.
The individual will also be expected to complete technical analysis for workstreams within both IFRS9 and credit risk modelling engagements
Description of the role:
Technical review of model development documentation
Technical review of model validation documentation
Assessment of model performance
Independent replication of any of the above
Credit governance reviews
Credit risk policy and procedure reviews
Individual credit file reviews and substantive testing
Leadership & Management:
The successful candidate will be responsible for training analysts and will have oversight of the work performed by 1-2 analysts
Stakeholder Interaction & Challenges:
Interaction with stakeholders within our banking audit teams as well as model development/ validation teams at entities we audit. There will be significant complex judgements in credit overwhich the individual will have to exercise professional skeptisim
Impact, Risk, Accountability & Governance:
The individual will be responsible for the work performed but ultimate accountability for the work and conclusions reached will vest with the director for Credit Risk Assurance.
Experience of credit risk modelling techniques
Knowledge of credit risk processes, governance and documentation
Experience of Retail/Wholesale PD/LGD/EAD models
Experience in all aspects of model development/validation including data extraction, data transformation, modular model development, user acceptance testing , model perfromance testing
Expertise/ Technical role requirements
Understanding of key regulatory/ accounting requirements (eg IFRS 9, Basel, CECL)
Ability to understand and execute programming code including SAS, R, Python
Ability to communicate risk/finance requirements of IFRS9 to the reciprocal function, i.e. risk to finance and finance to risk.
Excellent oral / written communication, planning, project management, networking and influencing skills.
Flexibility to work across the UK (and internationally) where required