Credit Risk Manager

About the company

KPMG in India is a network of professional services firms affiliated with KPMG International Limited. Since its launch in India in August 1993, the firm has built a nationwide presence and works with domestic and global clients across industries. Its teams combine international know-how with local market understanding, regulatory awareness, and knowledge of Indian business conditions to deliver technology-enabled, performance-led, and industry-specific services.

Role summary

This position sits within Financial Risk Management and focuses on credit risk model development, validation, calibration, and framework design. The role involves working on regulatory and analytical approaches for credit risk measurement, including ECL-related solutions, capital computation, and stress testing.

Key responsibilities

• Build quantitative models for credit risk, including IRB and IFRS 9-based components.
• Develop regulatory-aligned frameworks for ECL calculation across multiple portfolios.
• Work on model creation, validation, or calibration for scoring, PD, LGD, and EAD models.
• Apply strong knowledge of IRB, IFRS 9, CECL, and Basel requirements.
• Run credit risk stress tests using different scenarios and macroeconomic sensitivities.
• Draft and review credit risk policies covering ECL, capital calculation, stress testing, and related areas.
• Understand credit processes and controls to improve and refine methodologies.
• Carry out gap analysis and compare current approaches with regulatory expectations and industry best practices.
• Bring prior exposure to model development, validation, or monitoring in Indian or global banking environments.

Requirements

• Bachelor’s or master’s degree in Finance, Economics, Statistics, Quantitative Finance, or a related discipline.
• 2 to 6 years of relevant experience in credit risk or related analytical roles.
• Master’s qualifications or professional certifications such as CA, FRM, or CFA are preferred.
• Hands-on knowledge of statistical software and programming tools such as SAS, R, Python, and SQL is an advantage.
• Experience with banks, NBFCs, or consulting firms.
• Understanding of regulatory expectations in banking and financial services.
• Strong analytical thinking, communication, and problem-solving ability.

Equal opportunity statement

KPMG India follows a policy of equal employment opportunity and does not discriminate on the basis of color, caste, religion, age, sex or gender, nationality, citizenship, sexual orientation, gender identity or expression, disability, or any other legally protected status. Sharing diversity-related details is voluntary and declining to provide them will not affect consideration for the role.