Credit Risk Manager – Model Development & Validation

About the role

The Credit Risk Manager will lead the development and validation of quantitative models within the credit risk domain for KPMG’s banking and financial services clients. The role focuses on creating regulatory‑compliant frameworks for Expected Credit Loss (ECL) computation, stress testing, and capital estimation.

Key responsibilities

• Design, develop and validate credit risk models, including IRB, IFRS 9, CECL and Basel‑aligned components.
• Build and calibrate scoring, PD, LGD and EAD models across diverse portfolios.
• Conduct stress‑testing exercises incorporating macro‑economic scenarios and regulatory requirements.
• Formulate and review credit risk policies related to ECL, capital computation and stress testing.
• Perform gap analysis and benchmark models against best practices and regulatory guidelines.
• Collaborate with banks, NBFCs or consulting teams to ensure model robustness and compliance.

Required profile

• Bachelor’s or master’s degree in finance, economics, statistics, quantitative finance or a related discipline.
• 2–6 years of experience in model development, validation or monitoring within Indian or global banks.
• Strong understanding of IRB, IFRS 9, CECL and Basel frameworks.
• Excellent analytical, communication and problem‑solving abilities.

Required skills

• Proficiency in statistical programming languages and tools such as SAS, R, Python and SQL.
• Experience with regulatory requirements for banking and financial services.