Senior Consultant - Credit Risk Modelling
OverviewIn 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.
Retribuzione / Benefits
hybrid work arrangementsadvanced training and development programmesinclusive and equitable work environmentinternational mindset and projectswell-being initiatives
Responsabilità
perform quantitative analysis using statistical techniquesfocus on credit risk management informed by quantitative methodsdevelop/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 statisticsbuild statistical models using methods such as regression and discriminant analysis
Requisiti fondamentali
three to four years of credit risk management experienceexperience in IFRS9 modelling and/or credit risk stress testingmaster's degree or PhD in a related quantitative fieldproficiency in English; international study/work preferredstrong MS Office skills and knowledge of SAS, STATA, E-Views, R, Matlab and/or programming languages (C++, SQL, VBA)teamworkproblem solvingcontinuous learningSASSTATAE-Views
Retribuzione / Benefits
hybrid work arrangementsadvanced training and development programmesinclusive and equitable work environmentinternational mindset and projectswell-being initiatives
Responsabilità
perform quantitative analysis using statistical techniquesfocus on credit risk management informed by quantitative methodsdevelop/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 statisticsbuild statistical models using methods such as regression and discriminant analysis
Requisiti fondamentali
three to four years of credit risk management experienceexperience in IFRS9 modelling and/or credit risk stress testingmaster's degree or PhD in a related quantitative fieldproficiency in English; international study/work preferredstrong MS Office skills and knowledge of SAS, STATA, E-Views, R, Matlab and/or programming languages (C++, SQL, VBA)teamworkproblem solvingcontinuous learningSASSTATAE-Views