Senior Consultant - Credit Risk Modelling
Pubblicato il 04-08-2026 - Experteer Italy in Milano
Specialista Senior / Project Manager
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In this role, you will work within KPMG's Credit Risk Modelling team in Milan on projects for energy and utilities clients. You will perform quantitative analysis and develop or validate credit risk models under Basel pillar I and II, plus related data analysis and statistical modeling. You will collaborate with cross-functional teams to deliver risk management improvements and stress testing capabilities.
This opportunity combines technical rigor with client impact, in a dynamic, inclusive environment and hybrid work setup.
- advanced training and development programmes
- inclusive and equitable work environment
- international mindset and projects
- focus on credit risk management informed by quantitative methods
- develop/internal validation of Basel pillar I credit risk models (PD, LGD,
EAD)
- develop/internal validation of Basel pillar II models (economic capital and stress testing)
- conduct database analysis and descriptive statistics
- build statistical models using methods such as regression and discriminant analysis
- three to four years of credit risk management experience
- experience in IFRS9 modelling and/or credit risk stress testing xlwpduy
- master's degree or PhD in a related quantitative field
- proficiency in English; international study/work preferred
- strong MS Office skills and knowledge of SAS, STATA, E-Views, R, Matlab and/or programming languages (C++, SQL, VBA)
In this role, you will work within KPMG's Credit Risk Modelling team in Milan on projects for energy and utilities clients. You will perform…