Credit Risk Consultant

About the Role

KPMG Thailand’s Financial Risk Management (FRM) banking advisory team advises clients on the development and implementation of risk management policies, systems and controls. The scope of the work covers credit risk, market risk, operational risk and liquidity risk; economic capital, capital management, stress testing, risk modeling and validation. We are looking for experienced consultants to join our growing and talented team.

Responsibilities

• Assist clients in credit risk model development, model implementation and model validation activities, including application, behavioral, collection and alternative credit scoring models; Basel models for Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD); IFRS 9 Expected Credit Loss (ECL) models; and stress testing models for various portfolios.
• Perform credit risk related data analytic tasks: data extraction and pre-processing, data cleansing, data transformation and data loading.
• Perform advisory services to implement credit risk framework, systems, monitoring and reporting for clients.
• Perform credit risk stress testing and climate risk stress testing.
• Develop and maintain productive working relationships with client personnel and build strong internal relationships within Advisory and across other services.
• Develop business opportunities and potential openings with clients and handle multiple simultaneous engagements.

Qualifications

• Degree in engineering, finance, economics, statistics, mathematics, actuarial science, operations research, physics or other relevant quantitative discipline from an accredited college/university.
• Solid knowledge of statistical analysis, econometric modeling, scorecard development methods or machine learning techniques.
• Demonstrable analytical tools and programming skillset (e.g. SAS, Python, R, SQL, VBA, Power BI).
• Familiarity with Basel and Bank of Thailand (BOT) requirements, IFRS 9 and ICAAP; strong knowledge of credit risk management issues preferred.
• Relevant professional qualifications such as CFA or FRM preferred.
• Ambitious, self-driven individual who can work in a high-paced environment; strong written, communication and presentation capability.
• Proficiency in spoken and written English and Thai and willingness to work in an MNC.
• Excellent analytical, problem solving and project management skills.