Rocky Lim

Risk Consulting Lead at KPMG in Vietnam and Cambodia

KPMG Cambodia Ltd


Rocky has over 15 years of banks risk management / risk consulting experience working for major banks across South East Asia. He is a credit risk practitioner by training and a recognized IFRS 9 subject matter expert.

  • Before joining KPMG Vietnam and Cambodia, Rocky acted as credit risk lead for both KPMG Malaysia and KPMG Thailand practice and he specializes in the Basel II & III Capital Framework and IFRS 9 & IAS 39 Provisioning Standards. He has advised banks in the Southeast Asia region (Malaysia, Thailand, Cambodia, Indonesia, Vietnam) on IFRS 9 model development, ECL system implementations, Basel II FIRB & AIRB accreditation. As an IFRS9 specialist, he also assisted multiple banks across Southeast Asia in adopting end-to-end structured IFRS9 Model Validation and ECL related audit support and review for listed banks.
  • He has hands-on experience in building IFRS 9 & Basel II IRB models (PD/LGD/EAD/SICR/Forward Looking), covering Retail and Wholesale asset classes, including Treasury & investment portfolio. In addition, he has rich downstream knowledge in the use of PD/LGD/EAD for Basel capital and provisioning purpose having worked in the banking industry for many years.
  • Rocky has led and oversee multiple credit scorecard model development and enhancement projects across Cambodia, Vietnam and Malaysia.
  • In KPMG Vietnam and Cambodia, Rocky is currently the technical lead for various IFRS transformation projects. He regularly speaks to national regulator including State Bank of Vietnam (SBV) and industry participants on challenges and practical expedients on IFRS 9 and Basel II/III.
  • In KPMG Thailand (2019-2020) Rocky was the IFRS 9 Engagement Lead for various KPMG model development in Thailand. PD Models implemented include point-in-time (PiT) PD term structure models such as dual hazard parametric and non-parametric survival model, GLM Binomial model, dynamic cohort model, vintage-based model. Markov Chain model, external term structure model such as S&P. (Key IFRS9 clients include Siam Commercial Bank, TMB Bank, KasikornBank, CIMB Thai, Government Saving Bank)
  • In KPMG Malaysia (2017-2018) Rocky has led and advised multiple Malaysian banks on the design and system implementation of IFRS 9 models including key components such as PD, LGD, EAD, SICR, Forward Looking, Expected Life, Effective Interest Rate and other point-in-time conversion from Basel IRB models to meet IFRS 9 and BNM requirements. (Key IFRS9 clients include Public Bank, CIMB, Hong Leong Bank, Affin Bank, OCBC, Bank Islam, SME Bank)
  • In Malaysia and Thailand Rocky represented KPMG on key industry stakeholder meetings with Bank Negara Malaysia/ Bank of Thailand to share on implementation insight and business insight related to IFRS 9.
  • In Malaysia and Thailand Rocky has conducted multiple IFRS9 related trainings to local domestic system important banks (DSIB) on complementary topics such ECL management overlay, stress-testing, stage 2 pricing adjustment, day 1 business impact and strategy.
  • Prior to joining KPMG in 2017 Rocky acted as the technical lead for IFRS 9 go-live project for an IRB aspiring bank in Malaysia, his key scope include:
  • Reviewed IFRS9 PD lifetime model design covering modelled retail, wholesale and treasury exposures
  • Reviewed key ECL parameters including staging allocation criteria, amortisation profile, behavioral life for revolving products, early prepayment rates, EIR discounting;
  • Reviewed forward looking adjustment models incorporating future macroeconomic forecasts;
  • Designed and built ECL prototypes for Stage 1, Stage 2 ECL to determine financial impact and run-time assessment.