Senior Consultant - Credit Risk Modelling

27 set 2026

Senior Consultant - Credit Risk Modelling

The chance to build a better future is right in front of you

Do Work That Matters - Your role and responsibilities

Do you want to pursue a profession that is truly meaningful and impactful? At KPMG, you will have the opportunity to help clients, the company and colleagues address and solve the most current and complex challenges. KPMG Advisory offers consulting services to companies to assist them in business model transformation, process improvement and digitisation, risk analysis and management, and support in extraordinary finance transactions. When you join the Financial Risk team in Milan, you are going to work on Credit Risk Modelling projects for top-tier clients in the energy & utilities sector.

As part of the KPMG Credit Risk Modelling team in Milan, you will be responsible for strategic projects. In particular, you will be tasked with:

• 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);

• development/internal validation of models under Basel pillar II (economic capital/stress testing);

• database analysis (descriptive statistics – i.e. distribution analysis, mean, variance, etc.);

• development of statistical models (i.e. inferential statistics: regression analysis, discriminant analysis, etc.).

Come As You Are - Your skills and characteristics

This is the perfect opportunity for you if:

• three to four years of credit risk management experience, ideally gained with specialised consulting companies or top-tier banking or financial institutions;

• previous experience in IFRS9 credit risk modelling and/or credit risk stress testing framework;

• a master’s degree or PhD in statistics, mathematics, engineering, physics or a related field;

• proficiency in English, preferably with study and/or work experience abroad;

• excellent Microsoft Office skills and good knowledge of software for statistical analysis (i.e. SAS, STATA, e-views, R, Matlab, etc.) and/or programming languages (i.e. C++, SQL, VBA, etc.).

Your Future With Us - What you’ll find at KPMG

• An inclusive and equitable work environment that respects, encourages and values diversity.

• A challenging and dynamic environment that encourages creativity and teamwork.

• Hybrid work arrangements to promote a healthy work-life balance.

• Advanced training and development programmes to stay current.

• International mindset and innovative projects.

• Initiatives focused on mental and physical well-being.

Standard employment contract under the collective labour agreement for the commerce sector, with a gross annual salary ranging from €31,000 to €41,000. The salary is determined on the basis of objective criteria, including the candidate’s skills and experience assessed against the requirements of the role.

In accordance with applicable legislation, we do not collect or use information relating to remuneration received in current or previous employment. Our selection procedures are based on objective and gender-neutral criteria.

Together for Better – Our values and commitment

Leadership, teamwork, respect every individual, continuous learning, transparency, commitment to the community and integrity. These are the KPMG values that create an environment that encourages the sharing of ideas and knowledge, so our professionals can achieve their full potential.

As a result of our commitment to fostering an inclusive work environment, our Network complies with the standards of the ISO 30415 requirements, on the Diversity and Inclusion Management System, and UNI PdR 125, relating to gender equality. Within our Impact Plan - Our Impact Plan (kpmg.com) - you will find summarised all the concrete actions we are taking on environmental, social and governance (ESG) issues.

Join us!

Your data will be processed in full compliance with the provisions of Regulation (EU) no. 679/2016 (General Data Protection Regulation - “GDPR”), as amended. For more information, please see KPMG’s privacy policy.

KPMG Advisory S.p.A. is an equal opportunity employer.

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