Manager, Credit Risk Modelling (risk Services)

PwC

Probability of default model development
Basel ii and ifrs 9 compliance knowledge
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 knowledge
  • Python and SQL programming skills
  • Portfolio stress testing execution
  • Credit risk validation experience

Nice-to-have

  • Generative AI application in risk
  • Machine learning predictive modeling
  • Corporate and Retail model experience
  • Cloud computing familiarity
  • Trusted advisor relationship building

Key Requirements

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

Work Rights

Not specified

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