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

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Position Title

Consultant / Senior Consultant – Credit Risk Model Development & Validation

Location - Mumbai/Gurgaon/Bangalore

Experience2–7 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 interested in being part of a dynamic team, serving clients and reaching your full potential – KPMG Advisory Services is for you!