Job description
A Credit Risk Modelling Assistant Manager is a technical specialist role supporting the external audit of credit risk models (IFRS9, CECL, etc). As a technical specialist, we would expect the candidate to be able to:
- Critically assess appropriate model documentation against the requirements of the accounting standard and industry practice.
- Independently reperform the procedures and tests detailed within the documentation in (1) using the appropriate software packages
- Document the work done in (1) and (2) in a clear and succinct manner
Responsible for conducting assessments of client model documentation (e.g. model development, validation, monitoring documentation) against the requirements of the accounting standard as well as industry practice;
- Being able to annotate code produced by an audited entity and reconcile code functionality/ variables back to documentation;
- Being able to reperform the output of an audited entity's code by rerunning it in the appropriate software package;
- Being able to reperform the output of an audited entity's code using code developed independently from an entity's documentation using an appropriate software package;
- Being able to determine independent estimates of a model's output using KPMG assumptions.
- The documentation of (1-5) in a clear and succinct manner
- The ability to organise and execute workstreams for the delivery of (1-6)
- Management and training of more junior resources on an engagement