Credit Risk Consultant – Model Development & Validation

About the role

KPMG India is seeking a Credit Risk Consultant to join its Financial Risk Management team. The role focuses on developing, validating, and calibrating quantitative credit risk models, including IRB and IFRS 9 components, for a range of banking portfolios.

Key responsibilities

• Design and develop regulatory‑compliant models and frameworks for Expected Credit Loss (ECL) computation.
• Build, validate, and calibrate scoring, PD, LGD, and EAD models.
• Conduct stress testing incorporating macro‑economic scenarios and regulatory guidelines.
• Review and formulate credit risk policies related to ECL, capital computation, and stress testing.
• Perform gap analysis and benchmarking against Basel, IFRS 9, CECL, and other regulatory standards.

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 analytical, communication, and problem‑solving abilities.

Required skills

• Proficiency in statistical programming languages such as SAS, R, Python, and SQL.
• Sound knowledge of IRB, IFRS 9, CECL, and Basel guidelines.
• Experience with stress‑testing frameworks and credit risk policy formulation.