Manager, Credit Risk Modelling (risk Services)

PwC

Probability of default model development
Basel ii and ifrs 9 compliance
Python and sql programming skills
The role involves developing and enhancing Probability of Default, Loss Given Default, and Exposure At Default models in accordance with Basel or IFRS 9 standards

Job Summary

  • The role involves developing and enhancing Probability of Default, Loss Given Default, and Exposure At Default models in accordance with Basel or IFRS 9 standards.
  • Candidates will conduct thorough validation of model performance and carry out portfolio stress testing to assess robustness against adverse economic conditions.
  • The position requires providing insightful credit risk advice to senior management and regulators while staying abreast of emerging technologies like Generative AI.

Matching Summary

The role involves developing and enhancing Probability of Default, Loss Given Default, and Exposure At Default models in accordance with Basel or IFRS 9 standards.

Skills & Requirements

Must-have

  • Probability of Default model development
  • Basel II and IFRS 9 compliance
  • Python and SQL programming skills
  • Portfolio stress testing execution
  • Credit risk parameter analysis

Nice-to-have

  • Machine learning and predictive modeling
  • Generative AI application exploration
  • Corporate and Retail model experience
  • Cloud computing knowledge
  • User Acceptance Testing oversight

Key Requirements

  • 3-6 years credit risk modeling experience
  • Undergraduate degree in quantitative field
  • Post graduate degree is an added advantage
  • FRM or CFA certification is a plus
  • Strong PC skills including Python and SQL

Work Rights

Not specified

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