Manager, Credit Risk Modelling (risk Services)

PwC

Develop pd, lgd, ead models
Model validation and stress testing
Credit risk reporting and analysis
Develop and enhance Probability of Default (PD), Loss Given Default (LGD), and Exposure At Default (EAD) models in accordance with Basel or IFRS 9 standards

Job Summary

  • Develop and enhance Probability of Default (PD), Loss Given Default (LGD), and Exposure At Default (EAD) models in accordance with Basel or IFRS 9 standards.
  • Conduct thorough validation of model performance, including PD, LGD, and EAD models, and carry out portfolio stress testing to assess model robustness against adverse economic conditions.
  • Stay abreast of emerging technologies, including cloud computing and Generative AI (GenAI), and explore their potential applications within the organization to optimize operations and drive innovation in risk management practices.

Matching Summary

Develop and enhance Probability of Default (PD), Loss Given Default (LGD), and Exposure At Default (EAD) models in accordance with Basel or IFRS 9 standards.

Skills & Requirements

Must-have

  • Develop PD, LGD, EAD models
  • Model validation and stress testing
  • Credit risk reporting and analysis
  • Basel II/IFRS 9 standards
  • Python, R, SQL proficiency

Nice-to-have

  • Emerging technologies exploration
  • Training and development
  • Core banking knowledge
  • FRM or CFA certification

Key Requirements

  • 3-6 years of working experience
  • Undergraduate degree in a quantitative program
  • Experience with model development/validation

Work Rights

Not specified

Tailored Resume

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