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Senior at KPMG India
Bangalore, karnataka, India -
Full Time

Start Date

Immediate

Expiry Date

31 May, 26

Salary

0.0

Posted On

02 Mar, 26

Experience

5 year(s) or above

Remote Job

Yes

Telecommute

Yes

Sponsor Visa

No

Skills

Model Development, Model Monitoring, Recalibration, Model Tuning, Regulatory Capital Models, Basel III/IV, IRB Approaches, PD Estimation, LGD Estimation, EAD Estimation, Prepayment Estimation, CECL, IFRS 9, Stress Testing, Scenario Analysis, CCAR

Industry

Business Consulting and Services

Description
•First Line of Defense, including Model Development, Model Monitoring, Recalibration, Model Tuning. •Develop Regulatory Capital Models compliant with Basel III/IV standards and IRB approaches. Estimate PD, LGD, EAD, and Prepayment for retail (Credit Cards, Residential Mortgage, HELOC, etc.) and wholesale (Commercial and Industrial, Commercial Real Estate, etc.) portfolios. •Develop and calibrate models for predicting Expected Credit Losses under US GAAP’s CECL and IFRS 9 standards. Integrate forward-looking perspectives, scenario weightings, lifetime loss parameters, and macroeconomic linkages. •Develop and maintain Underwriting and Origination Models including classification models for pre-approval, approve/decline, etc. and regression models for limit setting. •Design and implement models for Stress Testing and Scenario Analysis. Incorporate regulatory (CCAR, DFAST) and internal stress scenarios, projecting losses, default rates, and capital impacts under adverse conditions. •Develop and implement segmentation, pool assignment, and scorecard strategies as appropriate. Select and justify appropriate model methodology (traditional model vs ensemble machine learning model) based on portfolio characteristics and regulatory requirements. •Identify and source relevant financial, behavioral, and macroeconomic data, and perform data cleaning, feature engineering, and exploratory analysis to support robust modeling. #LI-SD1 #KGS
Responsibilities
The role involves serving as the first line of defense, focusing on model development, monitoring, recalibration, and tuning, particularly for regulatory capital models compliant with Basel standards. Key tasks include developing models for estimating PD, LGD, EAD, and Prepayment for various portfolios, as well as models for CECL and IFRS 9 compliance.