Validate model performance and portfolio stress testing
Generate and analyze portfolio risk reports
PwC UK is seeking a Manager for Credit Risk Modelling in Ho Chi Minh City, Vietnam. The role involves developing and validating credit risk models, providing advisory support, and conducting advanced data analysis to enhance business performance
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
Match Score: 85
PwC UK is seeking a Manager for Credit Risk Modelling in Ho Chi Minh City, Vietnam. The role involves developing and validating credit risk models, providing advisory support, and conducting advanced data analysis to enhance business performance.
Skills & Requirements
Must-have
Develop and enhance PD, LGD, EAD models
Validate model performance and portfolio stress testing
Generate and analyze portfolio risk reports
Advanced data analysis and modeling
Explore emerging technologies like GenAI
Nice-to-have
Credible counterpart to business managers
Develop trusted advisor relationships
People management experience
Key Requirements
3-6 years of working experience in credit risk modeling