Quantitative Credit Risk Consultant

KPMG in Caricom is a member firm of KPMG International, and is comprised of offices in Jamaica, Trinidad and Tobago and Barbados and the Eastern Caribbean operating as one integrated business. KPMG is a global organization of independent professional services firms providing Audit, Tax and Advisory services. KPMG firms operate in 145 countries and territories with more than 236,000 partners and employees working in member firms around the world.

KPMG in Caricom is seeking to hire a talented, competent and highly motivated Quantitative Credit Risk Consultant  to join our  Financial Risk Management Advisory Practice.

Job Profile

Reporting to the Senior Manager, the Consultant will be responsible for performing quantitative duties comprising credit risk model reviews and development. The successful candidate will also assist clients with credit strategic engagements in order to improve their credit risk management capabilities.

Key Responsibilities

  • Support with reviewing credit risk models such as probability of default (PD), loss given default (LGD), exposure at default (EAD), and portfolio loss calculations
  • Support with other credit strategic engagements to assist clients with enhancing their credit risk management capabilities.
  • Potential involvement with capital management and balance sheet management engagements, including ICAAP, Risk Appetite, Economic Capital modelling, etc. 
  • Engaging with vast client-base within the financial services Industry, including banks, development finance institutions, micro-lenders and retailers.
  • Work closely with the management team and lead day-to-day work in progress as part of engagements, client presentations and proposals 

Skills and Qualifications

  • Degree in a quantitative field (Economics, Engineering, Mathematics, Computer Science, Actuarial Science or similar) or equivalent experience
  • Knowledge and practical application of data mining and statistical principles involved in model development
  • Familiarity with modelling techniques including logistic regression, multivariate analysis, Monte Carlo analysis, and survival analysis
  • Experience of writing models in languages, such as SAS, Matlab, Python, R etc,
  • Ability to grasp new concepts and ideas
  • Ability to multi-task and work in an international team environment
  • Superior analytical skills – demonstrated ability to understand complex problems, detect trends, and understand data to develop and formulate solutions.
  • Solid communication skills, both verbal and written. Able to convey complex information and concepts in understandable terms.
    Progression toward a professional certification (e.g., CFA, FRM, or PRM) is a plus
  • Experience in Credit Risk and knowledge of IFRS 9 and Basel regulations would be an asset

Understanding of some or all of the following would be an asset:

  • Credit lifecycle within a commercial bank
  • Credit risk management infrastructures
  • Economic capital and RAPM

We thank all prospective candidates, however, only shortlisted applicants will be contacted.