Credit Risk Consultant – Model Development & Validation

About the role

KPMG India is seeking a Credit Risk Consultant to design, develop, and validate quantitative models for credit risk, including IRB and IFRS 9 components. The role involves ensuring regulatory compliance and supporting the bank’s ECL computation across multiple portfolios.

Key responsibilities

• Develop and validate credit risk models such as PD, LGD, and EAD, adhering to IRB, IFRS 9, CECL, and Basel guidelines.
• Design regulatory‑compliant frameworks for Expected Credit Loss (ECL) calculation.
• Conduct stress‑testing exercises incorporating macro‑economic scenarios.
• Formulate and review credit risk policies, capital computation, and stress‑testing methodologies.
• Perform gap analysis and benchmark models against regulatory standards and industry best practices.

Required profile

• Bachelor’s or master’s degree in Finance, Economics, Statistics, Quantitative Finance or a related field.
• 2‑6 years of experience in model development, validation, or monitoring within Indian or global banks, NBFCs, or consulting firms.
• Professional certifications such as CA, FRM, or CFA are highly desirable.
• Strong analytical, communication, and problem‑solving abilities.

Required skills

• Proficiency in statistical tools and programming languages: SAS, R, Python, SQL.

What we offer

• Opportunity to work with a leading global professional services firm.
• Exposure to complex credit risk projects across diverse portfolios.
• Commitment to diversity and equal employment opportunity.