Consultant/Assistant Manager - Credit Risk

About KPMG India

KPMG India consists of professional service entities affiliated with KPMG International Limited, established in India since August 1993. Our experts combine global expertise with local knowledge of laws, regulations, and markets. Offices span across multiple Indian cities including Mumbai. We serve a diverse client base nationally and internationally, delivering performance-driven, industry-focused, and technology-enhanced solutions reflecting both global and local insights.

Role Summary

This position involves developing and validating credit risk models compliant with regulatory requirements like IRB and IFRS 9. The role includes designing frameworks for Expected Credit Loss (ECL) calculations across portfolios, conducting stress testing, and reviewing credit risk policies. Candidates will apply their knowledge of credit risk processes to enhance methodologies and ensure regulatory alignment through gap analysis and benchmarking.

Responsibilities

• Construct quantitative credit risk models including scoring, Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models.
• Develop regulatory-compliant frameworks for ECL computation across various portfolios.
• Validate or calibrate models in alignment with IRB, IFRS 9, CECL, and Basel standards.
• Conduct credit risk stress testing incorporating different scenarios and macroeconomic factors.
• Review and formulate policies related to credit risk components such as ECL, capital computation, and stress testing methodologies.
• Understand and improve credit process controls to optimize risk measurement methodologies.
• Perform gap analyses and benchmarking against prevailing regulatory guidelines and industry best practices.
• Apply prior experience from model development, validation, or monitoring in Indian or global banking contexts.

Qualifications

• Bachelor’s or Master’s degree in Finance, Economics, Statistics, Quantitative Finance, or related fields.
• 2–6 years of relevant experience; advanced degree or professional certifications like CA, FRM, or CFA preferred.
• Proficiency with statistical tools and programming languages such as SAS, R, Python, and SQL is advantageous.
• Experience collaborating with banks, Non-Banking Financial Companies (NBFCs), or consulting firms.
• Strong understanding of banking and financial services regulatory requirements.
• Excellent analytical, communication, and problem-solving capabilities.

Equal Opportunity

KPMG India is committed to equal employment opportunities irrespective of color, caste, religion, age, sex/gender, nationality, citizenship, sexual orientation, gender identity, disability, or any other protected status. Submission of diversity information is voluntary and will not impact candidate evaluation.