Credit Risk Consultant

2 weeks ago

Bangkok, Bangkok, Thailand KPMG Thailand Full time ฿1,500,000 - ฿3,000,000 per year

Location:
Bangkok, Thailand

Rank:
All levels

Job Description
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 the full panoply of financial risks, such as 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. These models include application / behavioral / collection / alternative credit scoring model; Basel related model for Probability of Default ("PD"), Loss Given Default ("LGD") and Exposure at Default ("EAD") model; IFRS 9 Expected Credit Loss ("ECL") models; and stress testing model for various portfolios.
  • Perform credit risk related data analytic i.e. data extraction and pre-processing, data cleansing, data transformation, data loading, etc.
  • Perform advisory services to implement credit risk framework, system, monitoring and reporting for valued clients.
  • Perform credit risk stress testing and climate risk stress testing.
  • Develop and maintain productive working relationships with client personnel
  • 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 from accredited college/university
  • At least two years' experience in the financial services related industry, preferably in a major bank, consultancy firm or regulatory agency
  • Solid knowledge on 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, etc.
  • Familiar with Basel and Bank of Thailand ("BOT") requirement, IFRS 9, ICAAP and strong knowledge with credit risk management issues preferred
  • Relevant professional qualifications such as CFA, FRM preferred
  • Ambitious, self-driven and outspoken individual who can work under high-paced environment
  • Proficiency in spoken and written English and native Thai and wish to work in MNC
  • Strong written, communication and presentation capability
  • Excellent analytical, problem solving and project management skills

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