Credit Risk Model Development/Validation- Consultant/Assistant Manager/Manager

Job description

**>> OVERVIEW** KPMG is a global network of professional firms providing Audit, Tax and Advisory services. We operate in 156 countries and have 152,000 people working in member firms around the world. KPMG in India, a professional services firm, is the Indian member firm of KPMG International and was established in September 1993. Our professionals leverage the global network of firms, providing detailed knowledge of local laws, regulations, markets and competition. KPMG in India provide services to over 4,500 international and national clients, in India. KPMG has offices across India in Delhi, Chandigarh, Ahmedabad, Mumbai, Pune, Chennai, Bangalore, Kochi, Hyderabad and Kolkata. The Indian firm has access to more than 7,000 Indian and expatriate professionals, many of whom are internationally trained. We strive to provide rapid, performance-based, industry-focused and technology-enabled services, which reflect a shared knowledge of global and local industries and our experience of the Indian business environment. KPMG Advisory professionals provide advice and assistance to enable companies, intermediaries and public sector bodies to mitigate risk, improve performance, and create value. KPMG firms provide a wide range of Risk Consulting, Management Consulting and Transactions & Restructuring services that can help clients respond to immediate needs as well as put in place the strategies for the longer term. With increasing regulatory requirements, the need for greater transparency in operations, and disclosure norms, stakeholders require assurance beyond the traditional critique of numbers. Hence assurance is being increasingly required on industry issues, business risks and key business processes. The Governance, Risk & Compliance Services practice assists companies and public sector bodies to mitigate risk, improve performance and create value. We assist our clients to effectively manage business and process risks by providing a full spectrum of corporate governance, risk management, and Compliance Services. These services are tailored to meet client’s individual needs, and provide effective support to management in meeting the challenges and opportunities presented by today's complex business environment. Our professionals provide the experience to help companies stay on track and deal with risks that could unhinge their business survival. Our services enable clients to effectively co-ordinate their key growth, quality and operational challenges and working in partnership with us, clients have the benefits of KPMG's experienced, objective, and industry-grounded viewpoints. Position Title **Consultant / Senior Consultant – Credit Risk Model Development & Validation** Location - Mumbai/Gurgaon/Bangalore Experience **2–7 Years** **Job Summary** We are seeking talented professionals with expertise in **Credit Risk Model Development and Validation** to join our growing Risk Management practice. The ideal candidate will have hands-on experience in developing, validating, monitoring, and enhancing credit risk models across retail and wholesale portfolios. The role requires strong quantitative, analytical, and programming skills along with a solid understanding of regulatory guidelines such as **Basel, RBI, IFRS 9, and IRB frameworks** . **Key Responsibilities** Model Development - Develop and enhance credit risk models including: - Probability of Default (PD) - Loss Given Default (LGD) - Exposure at Default (EAD) - IFRS 9 Expected Credit Loss (ECL) models - Application, Behavioral, and Collection Scorecards - Stress Testing Models - Conduct data analysis, segmentation, feature engineering, and model calibration. - Implement statistical and machine learning methodologies for risk assessment. Model Validation - Perform independent validation of risk models and scorecards. - Assess model methodology, assumptions, performance, and regulatory compliance. - Conduct discrimination, calibration, stability, sensitivity, and back-testing exercises. - Prepare validation reports and present findings to stakeholders and governance committees. Regulatory & Risk Management - Support Basel, RBI, IFRS 9, and Internal Ratings-Based (IRB) framework requirements. - Participate in model governance, model risk management, and remediation activities. - Ensure compliance with internal policies and regulatory expectations. Analytics & Reporting - Analyze large datasets to identify portfolio trends and risk drivers. - Develop dashboards, reports, and monitoring frameworks. - Communicate findings and recommendations to business and risk stakeholders. Required Skills & Experience Domain Expertise - Experience in: - Credit Risk Model Development - Credit Risk Model Validation - PD, LGD, EAD Modeling - IFRS 9 Modeling & Validation - Basel/IRB Frameworks - Stress Testing - Model Risk Management Technical Skills - Strong proficiency in: - Python - SAS - R - SQL - Hands-on experience with statistical techniques: - Logistic Regression - Linear Regression - Time Series Analysis - Survival Analysis - Machine Learning Techniques - Experience handling large-scale banking and financial datasets. Regulatory Knowledge - Strong understanding of: - RBI Regulations - Basel II / Basel III - IFRS 9 - IRB Approaches - Model Governance Frameworks Preferred Qualifications - Bachelor's or Master's degree in Statistics, Mathematics, Economics, Finance, Engineering, Data Science, or related disciplines. - FRM, CFA, PRM, or relevant quantitative certifications are preferred. - Experience working with banks, NBFCs, fintechs, consulting firms, or financial institutions. Key Competencies - Strong analytical and problem-solving skills. - Excellent communication and stakeholder management abilities. - Ability to translate complex quantitative concepts into business insights. - Strong documentation and presentation skills. - Ability to work in a fast-paced consulting environment. The opportunity is now! If you are i