Senior

Role overview

Senior at KPMG

Responsibilities

• Develop Regulatory Capital Models compliant with Basel III/IV standards and IRB approaches.
• Develop and maintain Underwriting and Origination Models including classification models for pre-approval, approve/decline, etc. and regression models for limit setting.
• Develop and implement segmentation, pool assignment, and scorecard strategies as appropriate.

Required qualifications

• Minimum qualification: Post Graduation

Preferred qualifications and skills

• Additional certifications: Professional Certification such as FRM, CFA preferred. #LI-SD1 #KGS

Employment details

• Location: Bangalore [Karnataka] [India]

Additional role details

• First Line of Defense, including Model Development, Model Monitoring, Recalibration, Model Tuning.
• Estimate PD, LGD, EAD, and Prepayment for retail (Credit Cards, Residential Mortgage, HELOC, etc.) and wholesale (Commercial and Industrial, Commercial Real Estate, etc.) portfolios.
• Develop and calibrate models for predicting Expected Credit Losses under US GAAP’s CECL and IFRS 9 standards.
• Integrate forward-looking perspectives, scenario weightings, lifetime loss parameters, and macroeconomic linkages.
• Design and implement models for Stress Testing and Scenario Analysis.
• Incorporate regulatory (CCAR, DFAST) and internal stress scenarios, projecting losses, default rates, and capital impacts under adverse conditions.
• Select and justify appropriate model methodology (traditional model vs ensemble machine learning model) based on portfolio characteristics and regulatory requirements.
• Identify and source relevant financial, behavioral, and macroeconomic data, and perform data cleaning, feature engineering, and exploratory analysis to support robust modeling. #LI-SD1 #KGS
• Advanced degree in Math, Statistics, Economics or any other Analytical disciplines.
• Any Graduate + MBA in finance with relevant experience/exposure.