Credit Risk Consultant – Model Development & Validation

About the role

KPMG India is seeking a Credit Risk Consultant to join its Financial Risk Management team. You will work on developing and validating quantitative credit risk models, ensuring compliance with regulatory frameworks such as IRB, IFRS 9, CECL, and Basel.

Key responsibilities

• Develop quantitative models for credit risk, including IRB and IFRS 9 components.
• Design regulatory‑compliant frameworks for Expected Credit Loss (ECL) computation across multiple portfolios.
• Validate, calibrate, and monitor scoring, PD/LGD/EAD models.
• Conduct stress testing incorporating macro‑economic scenarios.
• Formulate and review credit risk policies related to ECL, capital computation, and stress testing.
• Perform gap analysis and benchmarking against regulatory guidelines and best practices.

Required profile

• Bachelor’s or master’s degree in Finance, Economics, Statistics, Quantitative Finance or related field.
• 2‑6 years of experience in model development, validation or monitoring within Indian or global banks, NBFCs, or consulting firms.
• Strong knowledge of IRB, IFRS 9, CECL, and Basel guidelines.
• Excellent analytical, communication, and problem‑solving abilities.

Required skills

• SAS
• R
• Python
• SQL
• Statistical modelling tools