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US - Assistant Manager - US Bank at KPMG India
Bangalore, karnataka, India -
Full Time

Start Date

Immediate

Expiry Date

17 May, 26

Salary

0.0

Posted On

16 Feb, 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, CECL, IFRS 9, Underwriting Models, Origination Models, Stress Testing, Scenario Analysis

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.
Responsibilities
The role involves First Line of Defense activities, including the development, monitoring, and recalibration of regulatory capital models compliant with Basel III/IV and IRB approaches for various portfolios. Responsibilities also include developing models for Expected Credit Losses under CECL and IFRS 9, and designing models for Stress Testing and Scenario Analysis.