Credit Risk Assurance Managers
KPMG UK
London, GB
5d ago

Acting as a technical specialist on the external audit of credit risk models (IFRS 9, CECL, Regulatory) at our audit entities and conducting procedures that include but are not limited to :

  • Technical model development documentation review
  • Technical model validation documentation review
  • Assessment of model performance
  • Independent replication of any of the above
  • Acting as a technical specialist on the external audit of audit entities end to end credit risk process and conducting procedures that include but are not limited to :

  • Credit risk governance reviews
  • Credit risk policy and procedure reviews
  • Individual credit file reviews
  • Substantive testing of any of the above
  • Advising non audit clients on the impact of changing requirements in provision accounting standards (IFRS9) and helping clients validate or build credit risk measurement models.

    The individual will also be expected to complete technical analysis for workstreams within both IFRS9 and credit risk modelling engagements.

    The individual will also be expected to work independently and be able to manage small teams on audits or advisory engagements.

    Said individual would also be responsible for the training and upskilling of junior resources.

    The individual will also be required to apply their skills to a broad range of banking risk related issues supporting both regional and national propositions.

    Experience & Skills required :

  • Experience working in a credit risk modelling role within a financial or professional services firm.
  • Experience in managing small teams of 2-4 people
  • Practical experience in credit risk modelling techniques
  • Knowledge and practical experience in accounting and risk requirements as related to IFRS9, CECL and regulatory credit risk models
  • Detailed working knowledge and experience of all aspects of model development and validation including the following :
  • 1) Data extraction and pre-processing

    2) Modular model development

    3) User acceptance testing

    4) Model performance assessments

  • Sectoral experience developing Retail / Wholesale banking PD / EAD / LGD models
  • Knowledge and experience of credit risk processes, governance and documentation
  • Opening date : 27 / 09 / 2019

    Closing date : 25 / 10 / 2019

    Competitive salary plus negotiable benefits

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