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About this position

KPMG Thailand’s Financial Risk Management (FRM) banking advisory team is seeking experienced consultants to assist clients in developing and implementing risk management policies, systems, and controls, covering various financial risks.

Responsibilities

• Assist 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 personnel.
• Build strong internal relationships within Advisory and across other services.
• Develop business opportunities and potential openings with clients.
• Handle multiple/simultaneous engagements.

Requirements

• Master’s degree in engineering, finance, economics, statistics, mathematics, actuarial science, operations research, physics or other relevant quantitative discipline from accredited college/university.
• At least two years’ experience in the financial services related industry, preferably in a major bank, consultancy firm or regulatory agency.
• Solid knowledge on statistical analysis, econometric modeling, scorecard development methods or machine learning techniques.
• Demonstrable 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 preferred.
• Relevant professional qualifications such as CFA, FRM preferred.
• Ambitious, self-driven and outspoken individual who can work under high-paced environment.
• Proficiency in spoken and written English and native Thai and wish to work in MNC.
• Strong written, communication and presentation capability.
• Excellent analytical, problem solving and project management skills.

Benefits