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KPMG India logo
Senior KPMG India

0.0 years

0 Lacs

gurgaon, haryana, india

On-site

Job Description First Line of Defense, including Model Development, Model Monitoring, Recalibration, Model Tuning. Develop Regulatory Capital Models compliant with Basel III/IV standards and IRB approaches. Estimate PD, LGD, EAD, and Prepayment for retail (Credit Cards, Residential Mortgage, HELOC, etc.) and wholesale (Commercial and Industrial, Commercial Real Estate, etc.) portfolios. Develop and calibrate models for predicting Expected Credit Losses under US GAAP's CECL and IFRS 9 standards. Integrate forward-looking perspectives, scenario weightings, lifetime loss parameters, and macroeconomic linkages. Develop and maintain Underwriting and Origination Models including classification mod...

Posted 1 week ago

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