Credit Risk Consultant(Assistant Manager - Manager)

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 models and Basel-related PD, LGD and EAD models, IFRS 9 ECL models, and stress testing models for various portfolios
• Perform credit risk related data analytics: data extraction, pre-processing, cleansing, transformation and loading
• Provide advisory services to implement credit risk framework, systems, monitoring and reporting
• 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
• Handle multiple/simultaneous engagements

Qualifications

• Master’s degree in engineering, finance, economics, statistics, mathematics, actuarial science, operations research, physics or other relevant quantitative discipline
• At least 4 years’ experience in the financial services industry, preferably in a major bank, consultancy firm or regulatory agency
• 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, PowerBI
• Familiarity with Basel and Bank of Thailand (BOT) requirements, IFRS 9, ICAAP and strong knowledge of credit risk management issues preferred
• Relevant professional qualifications such as CFA, FRM preferred
• Ambitious, self-driven and able to work in a high-paced environment
• Proficiency in spoken and written English
• Strong written communication, presentation, analytical, problem solving and project management skills