Credit Risk Consultant

Location: Bangkok, ThailandRank: All levelsJob DescriptionKPMG 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.ResponsibilitiesAssist 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 personnelBuild strong internal relationships within Advisory and across other servicesDevelop business opportunities and potential openings with clientsHandle multiple/simultaneous engagements QualificationsMaster’s degree in engineering, finance, economics, statistics, mathematics, actuarial science, operations research, physics or other relevant quantitative discipline from accredited college/universityAt least two years’ experience in the financial services related industry, preferably in a major bank, consultancy firm or regulatory agencySolid knowledge on statistical analysis, econometric modeling, scorecard development methods or machine learning techniquesDemonstrable 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 preferredRelevant professional qualifications such as CFA, FRM preferredAmbitious, self-driven and outspoken individual who can work under high-paced environmentProficiency in spoken and written English and native Thai and wish to work in MNCStrong written, communication and presentation capabilityExcellent analytical, problem solving and project management skills