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
Skills
Statistical Analysis
SQL
ICAAP
Communication skills
IFRS
Functions
Other
Other
Job Overview
Job Type:
Full-Time
Company
KPMG
38 active jobs
Industry:
Business & Professional Services
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