Credit Risk Modeling Senior Consultant

As a part of KPMG Credit Risk Modeling Team in Milan, you will be accountable for organizational issues within complex Risk Management projects following Basel and Solvency II standards.
In particular, you will be responsible for:
Quantitative analysis using statistical techniques. Credit Risk Management based on quantitative aspects: Development/internal validation of credit risk models under Basel pillar I (PD, LGD, EAD) and Development/internal validation of models under Basel pillar II (economic capital/stress testing). Database analysis (descriptive statistics, distribution analysis, mean, variance, etc.). Development of statistical models (inferential statistics: regression analysis, discriminant analysis, etc.). To be the successful candidate, you will have:
Master's degree in Business, Statistics, Mathematics. 2 to 5 years of experience in Credit Risk management, ideally gained in specialised consulting firms, top tier banking or financial institutions. Good knowledge of software for statistical analysis (SAS, STATA, e-views, R, MatLab, etc.) and/or programming codes (C++, SQL, VBA, etc.). Excellent MS Office skills. Proficiency in English, ideally improved through an educational/working experience abroad. Willingness to work side by side with clients according to project needs. You are a problem solver, who never loses your focus, can easily build strong relationships, and fosters collaboration.
You are able to inspire confidence in our clients and empower change through high motivation and enthusiasm.
You are challenged by dynamic and evolving working environments, where your leadership skills are highly appreciated.
KPMG Advisory is an equal opportunities employer.
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