Manager, Credit Risk Modelling (risk Services)

PwC PricewaterhouseCoopers GmbH

Ho Chi Minh City, Vietnam
**
Develop and enhance pd, lgd, ead models
Conduct model validation and stress testing
Generate and analyze portfolio risk reports
** PwC is seeking a Manager for Credit Risk Modelling in Ho Chi Minh City, Vietnam. The role involves developing credit risk models, conducting performance validations, and providing advisory support to enhance risk management strategies. **

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.
  • Generate, analyse, and standardise portfolio risk and capital reports, including scorecard performance reports and booking profiles.
  • 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: 75

** PwC is seeking a Manager for Credit Risk Modelling in Ho Chi Minh City, Vietnam. The role involves developing credit risk models, conducting performance validations, and providing advisory support to enhance risk management strategies. **

Skills & Requirements

Must-have

  • Develop and enhance PD, LGD, EAD models
  • Conduct model validation and stress testing
  • Generate and analyze portfolio risk reports
  • Implement Basel/IFRS9 models and engines
  • Advanced data analysis and predictive modeling
  • Explore emerging technologies like GenAI

Nice-to-have

  • Strong business insight and communication
  • Meticulous, self-motivated, and flexible
  • Ability to work with minimal supervision
  • Develop trusted advisor relationships
  • People management experience is a plus

Key Requirements

  • 3-6 years of working experience
  • Undergraduate degree in a quantitative programme
  • Python, R, SQL, MS Office, VBA skills

Work Rights

Not specified

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